On the CDJs, first enable ON-AIR status in the player menu. While you're in the menu, assign the player number for each player so that it matches the channel of the mixer it will be connected to -- for example, if you have the right CDJ connected to channel 3, number it player 3.
Next, connect the players and the mixer via the ethernet cable to a network switch (NOT a router).
When you play audio from one of the players -- provided the channel gain is up, the EQs aren't in full-kill mode, the channel fader is up, the cross-fader is open and the master volume isn't zero -- the player's on-air status will become active and the jog illumination will change from white to red.