It's a false positive. JDownloader.jar is a java file and seems like Kaspersky doesn't like JDownloader opening connections/downloading stuff. Very likely you've downloaded an infected file in the past and JDownloader.jar being that downloader -> it must be bad.
I tested with 4 different versions and all are clean. So very likely it's caused by the installer being on any list.
Did you try installer from here?
http://jdownloader.org/jdownloader2
Is this about the installatino process or the installed version?