Java Network Launching Protocol (JNLP) files describes how to launch Java Web Start applications.
To execute a jnlp file, you need javaws binary which you can install with:
$ sudo apt-get install icedtea-netx
After that, it is simple to execute a jnlp file like that:
$ javaws filename.jnlp
You can also install icedtea-plugin package to integrate with web browser:
$ sudo apt-get install icedtea-plugin
Please note that, this plugin uses NPAPI and Google Chrome dropped support for NPAPI starting from version 35 on Linux and Mac. It will be dropped on Windows versions too. You need to run in console for this case.
See also: Javaws trusted.certs error fix