Your imports should be:
import org.rosuda.JRI.REXP;
import org.rosuda.JRI.Rengine;
Appending java.lang.Object
in front of them creates rubbish. To resolve the compile errors you are getting make sure to include the (correct version of the) JRI-x-.x-x.jar in your build classpath. Eg.
javac -cp ".:/some/path/to/JRI-0.8-4.jar" *.java
If you are using an IDE then include the JAR in the projects build path. So for example, using Eclipse you would add the JAR to a (regular project) by right-clicking the project, then navigating to Properties->Java Build Path->Add External JARs, locating and selecting the JAR, then clicking OK out of all dialog boxes. Your imports should then resolve cleanly:
Note that JRI-0.8-4.jar shows up under Referenced Libraries, for the project