The region for $I_1$ is the region that is between the circles with radius $a$ and$b$. In polar coordinates it is given by \[ 0\leq \theta \leq 2\pi, \quad a\leq r\leq b \] Using $x=r\cos \theta$, $y=r\sin\theta$, we get \begin{align*} I_1 &= \int_0^{2\pi} \int_{r=a}^b (r\cos \theta)^2\, r dr d\theta \\ &= \int_0^{2\pi} \int_{r=a}^b \cos^2 \theta \, r^3 dr d\theta \\ &= \int_0^{2\pi} \cos^2 \theta \bigl[\tfrac14r^4\bigr]_a^b d\theta \\ &= \frac14 \bigl(b^4-a^4\bigr)\int_0^{2\pi} \cos^2 \theta d\theta \\ &= \frac14 \bigl(b^4-a^4\bigr) \pi. \end{align*} (use the double angle formula for the last integral).
The region for $I_2$ is contained in the region for $I_1$. It consists of all points between the circles with radii $a$ and $b$ that lie above the graph of $y=c|x|$. This graph is v-shaped and consists of two half lines. The region is therefore given in polar coordinates by \[ a\leq r\leq b, \quad \alpha\leq\theta\leq\beta, \] where the angles $\alpha$ and $\beta$ are determined by the slopes of the graph of $y=c|x|$. We have $\tan\alpha = c$, so $\alpha = \arctan c$; the other angle is $\beta = \pi-\alpha$. Thus we get \begin{align*} I_2 &= \int_\alpha^\beta \int_{r=a}^b (r\cos \theta)^2\, r dr d\theta \\ &= \int_\alpha^\beta \int_{r=a}^b \cos^2 \theta \, r^3 dr d\theta \\ &= \int_\alpha^\beta \cos^2 \theta \bigl[ \frac14r^4 \bigr]_a^b d\theta \\ &= \frac14 \bigl(b^4-a^4\bigr)\int_\alpha^\beta \cos^2 \theta d\theta \\ &= \frac14 \bigl(b^4-a^4\bigr) \int_\alpha^\beta \frac12 \{1+\cos 2\theta\} d\theta\\ &= \frac14 \bigl(b^4-a^4\bigr) \frac12 \{\beta-\alpha+\frac12\sin 2\beta-\frac12\sin2\alpha\} \end{align*} which one could simplify.
The region for $J_1$ is three dimensional. It is the region contained between the two spheres with radius $a$ and $b$. The best choice of coordinates is spherical coordinates. In these coordinates the region is described by \[ a\leq \rho\leq b,\quad 0\leq \phi\leq \pi, \quad 0\leq \theta\leq 2\pi. \] The coordinate $x$ is $x=\rho\sin\phi\cos\theta$, and the integral therefore is \begin{align*} J_1 &= \int_{\theta=0}^{2\pi}\int_{\phi=0}^\pi \int_{\rho=a}^b (\rho\sin\phi\cos \theta)^2\, \rho^2 \sin\phi d\rho d\phi d\theta \\ &= \int_{\theta=0}^{2\pi}\int_{\phi=0}^\pi \int_{\rho=a}^b \sin^3\phi\, \cos^2 \theta\, \rho^4 d\rho d\phi d\theta \\ &= \tfrac15\bigl(b^5-a^5\bigr) \int_{\theta=0}^{2\pi}\int_{\phi=0}^\pi \sin^3\phi\, \cos^2 \theta\, d\phi d\theta \\ &= \tfrac15\bigl(b^5-a^5\bigr) \int_{\theta=0}^{2\pi} \cos^2\theta \left\{\int_{\phi=0}^\pi \sin^3\phi\, d\phi\right\} d\theta \end{align*} At this point we have to know these integrals, \[ \int_0^\pi \sin^3\phi\,d\phi \stackrel{u=-\cos \phi}= \int_{-1}^1 (1-u^2)du =\frac43 \] and \[ \int_0^{2\pi} \cos^2\theta\, d\theta = \pi. \qquad\text{(double angle trick)} \] We get \[ J_1 = \tfrac15\bigl(b^5-a^5\bigr) \frac43 \pi \]
The region for $J_2$ consists of all points between the spheres with radii $a$ and $b$ that also lie above the cone $z=\sqrt{x^2+y^2}$. The opening angle of the cone is $\pi/4 = 45^\circ$, so in spherical coordinates the region is described by \[ a\leq \rho \leq b, \qquad 0\leq \phi\leq \frac\pi4, \qquad 0\leq \theta \leq 2\pi. \] The integral is therefore almost the same as $J_1$ except one of the integration bounds are different: \begin{align*} J_2 &= \int_{\theta=0}^{2\pi}\int_{\phi=0}^{\pi/4} \int_{\rho=a}^b (\rho\sin\phi\cos \theta)^2\, \rho^2 \sin\phi d\rho d\phi d\theta \\ &= \int_{\theta=0}^{2\pi}\int_{\phi=0}^{\pi/4} \int_{\rho=a}^b \sin^3\phi\, \cos^2 \theta\, \rho^4 d\rho d\phi d\theta \\ &= \tfrac15\bigl(b^5-a^5\bigr) \int_{\theta=0}^{2\pi}\int_{\phi=0}^{\pi/4} \sin^3\phi\, \cos^2 \theta\, d\phi d\theta \\ &= \tfrac15\bigl(b^5-a^5\bigr) \int_{\theta=0}^{2\pi} \cos^2\theta \left\{\int_{\phi=0}^{\pi/4} \sin^3\phi\, d\phi\right\} d\theta \end{align*} Again using $u=-\cos\phi$, we have \[ \int_0^{\pi/4} \sin^3\phi\,d\phi = \int_{-1}^{\sqrt2/2} (1-u^2)du =\left[u-\tfrac13u^3\right]_{-1}^{\sqrt2/2} =\tfrac5{12}\sqrt2 +\tfrac23 \] so we get \begin{align*} J_2 &= \tfrac15\bigl(b^5-a^5\bigr) \int_{\theta=0}^{2\pi} \cos^2\theta \left\{\int_{\phi=0}^{\pi/4} \sin^3\phi\, d\phi\right\} d\theta \\ &= \tfrac15\bigl(b^5-a^5\bigr)\; \bigl(\tfrac5{12}\sqrt2 +\tfrac23\bigr) \int_{\theta=0}^{2\pi} \cos^2\theta d\theta \\ &= \tfrac15\bigl(b^5-a^5\bigr)\; \bigl(\tfrac5{12}\sqrt2 +\tfrac23\bigr) \pi. \end{align*}