Is a .NET Assembly the same thing as a Java .jar?
They play the same role, yes.
.dll contains compiled IL code and .jar contains compiled .class/byte code files?
Yes. Although JARs are just zip files (you can open them in your favorite Zip tool), so they can really contain just about anything.
They say resources, what kind of resources we are talking about here? Images, .txt files, etc. or all of them are possible?
Any file type is allowed in a JAR. Your Java code can access the contents of files within the jar via, for example, getResourceAsStream or getResource. Obviously .class files in a JAR are treated specially (as bytecode).
I've examined AWS (Amazon Web Service API for Java) and I saw three .jar files and they are: aws-java-sdk-1.1.1.jar, aws-java-sdk-1.1.1-javadoc.jar, aws-java-sdk-1.1.1-sources.jar
The above packaging is fairly common. Sometimes people use .jar as an alternative file extension to .zip. I find this practice confusing, but it is not uncommon, and Amazon has done it in this case. I think this practice became more common with the launch of Maven, which stores reference source code in files named .jar.
aws-java-sdk-1.1.1.jar - This is the only file necessary for compilation and execution. It contains the classes (.class files) and resources necessary for the library to function.
aws-java-sdk-1.1.1-sources.jar - This is just a zip file that contains the source code (.java files) for the library. It is not necessary for compilation or execution. It is provided to help you troubleshoot problems you may encounter while using the library. You could unzip this file and read the source code from your hard drive. However, your IDE can probably utilize this file directly by creating a "source attachment" to the main library JAR. With this library->source association set up in your IDE, your IDE will be able to show you the source code of the library when you use your IDE's "Go to Definition" feature on a library class.
aws-java-sdk-1.1.1-javadoc.jar - This is just a zip file that contains the JavaDoc for the library. Again, it is not necessary for compilation or execution. JavaDoc is just HTML, so you could unzip this file and read the JavaDoc HTML directly from your hard drive. However, most IDEs can create a "Javadoc attachment" to the main library, which allows you to pull up context-sensitive JavaDoc for the library from within the IDE. Actually, most IDEs can generate the JavaDoc on the fly from the -sources.jar, so I rarely use Javadoc jars anymore.
When I want to import Java libraries, will I always need to import .jar files?
It's usually called "adding JARs to the classpath", but yes. You pretty much always need to help Java find all the JARs you're using by constructing a classpath whenever you build or execute. In general, using JARs and classpaths is a much more manual and explicit process than using DLLs in .NET. For example Java has no direct equivalent of .NET's "global assembly cache"; also vanilla Java will not automatically load .jars from the working directory.
There are a few other techniques for creating a more "automatic" feeling classpath, but they are kind of advanced: Manifest.MF classpaths are possible, for example -- but this approach is used infrequently as it is brittle. As of Java 6, Java has limited support for using wildcards in the classpath.
When I want to export my own Java libraries, should I need to export in .jar file
This is standard, yes.
Are you using a 64-bit PC?
"Bad image format" will occur on an x64 system if you try to mix x64 code and x86 code. This will happen if you write C# code (targeted to "Any CPU", so it'll jit-compile to x64 code) that calls an unmanaged DLL (that will probably be x86 by default).
Two solutions to this are:
Otherwise, you should be able to create a normal COM dll (with or without MFC shouldn't matter) and then just wrap it in an RCW (Runtime callable wrapper).