In fact, it seems to be so basic but Google did not give me an answers. I have downloaded ELKI, this gave me a .jar file.
Now where do I put that archive/what do I do with it to be then able to use ELKI functions in my code?
I know this has to be really basic...but google does not help me there as everyone seems already to know.
It's a .jar. You use it exactly like other jars, by adding them to your Classpath.
Command line Java: http://docs.oracle.com/javase/tutorial/essential/environment/paths.html
Eclipse: How to put a jar in classpath in Eclipse?
Netbeans: How to add a JAR in NetBeans
Running maven commands: use a command prompt. This is basic operating system usage.