Welcome to the forums.
We'll start with a very simple example, without a DMZ. e.g. let's say the JADE database, jadehttp.dll and web server (IIS in this case) reside on the same PC.
Our JADE system is installed to D:\JADE6306 and jadehttp.dll resides in D:\JADE6306\bin. The virtual directory we've setup in IIS points to the jadehttp.dll in D:\JADE6306\bin and so you can create (or jadehttp.dll will create it for you) the following directory structure:
The jadehttp.ini file goes into the ...\bin_jadehttp\ini directory.
Note the format, it's [jadehttp.dll folder name]_[jadehttp.dll filename].
I mentioned earlier that jadehttp.dll can create the directory structure and files for you. To do this simply setup the virtual directory, then configure your web enabled application or web service provider and run it. Now connect to that application or provider. The act of doing this (if the connection is successful) will cause jadehttp.dll to create the directory structure if it doesn't already exist. Only basic parameters will be put into the jadehttp.ini file so your application won't return a valid response to the client. You can then update the jadehttp.ini to include a section for your application, defining such parameters as ApplicationType, etc. Then restart your application to pick up the new INI parameters.
Note, some older versions of IIS, for example on Windows XP may need to be restarted (via the Services control panel applet, service name "World Wide Web Publishing") in order to pick-up the changes to the virtual directory. In fact, it is generally good practice to restart the IIS service after making any changes to a virtual directory. Then you can be confident IIS has picked them up.