WordPress.org

Where should I put Javascript files ?

You must put Javascript file inside your theme folder. You can group your Javascript files in a folder inside your theme folder and specify its name using the plugin settings page.

My js files are not included in the page, why ?

Check the plugin settings page if js file loading is enabled. By default js loading is disabled.

What happens if I activate Javascript loading from the plugin settins page and the .js file doesn't exists ?

Nothing :-) The plugin will not try to load a Javascript file if it doesn't exists.

I've setup the plugin to include javascript files in footer, but nothing happens

Check the footer.php file in your theme and make sure it calls the <?php wp_footer(); ?> function.