also DLLs that mqjbnd02.dll depends on must be resolved - the directory where MQM.DLL resides (from you MQ installation) must also be listed in the PATH env. variable.
The directory specified in PROVIDER_URL must exists in advance.
JMSAdmin will not create this directory for you if it doesn't exist, but
will fail with the mentioned JNDI Initialisation error.
JMSA ...