That's been asked a lot of times, we should sticky one of those threads, or refer them to the FAQ...

Downloadable versions of JJ2 ususally don't have the JCS included because:
a) the CD-rip (version 1.20 or higher) is incomplete, not to mention it's illegal
b) it could be the OEM version (version 1.00g is the most common one), which is like a preview version and doesn't have JCS included. Yes, that's illegal too.
c) it could be a shareware demo. Unlike the previous two, that one's not illegal

You can check which version you have in the lower left corner of the main menu.

- JelZe GoldRabbit =:3