Jenny Lind cribs are available from many different brands, therefore their assembly instructions vary with make and model. If the original reseller of the crib is known, you can generally contact them, or visit their website and query for assembly instructions.
The design of these cribs is very similar so, in general, it looks and assembles as follows: the feet and head panels of the bed are the parts that have the legs. The side panels and mattress support are attached to those by means of screws and/or dowels.
It is best to assemble the bed with two people. Attach both end panels to one of the side panels. If there is a sliding side panel for the bed, do not attach that at this time, but assemble with the fixed side panel first. Also, make sure that guides for a sliding side panel are facing each other on the inside of the crib. After that, you can attach the mattress support, having left one side of the bed open makes this fairly easy. Lastly, attach the second side panel.
If you can move this last panel up and down, you may first have to figure out how the system for that works. Most likely there are guides that the panel slides along and catches to lock it in two or more positions. If so, you need to attach some sort of stopper in order to prevent the side panel from sliding back off the guides.