You don't need to setup classpath...After installing the exe file. There will be folder created named WTK22...which contains apps,appsdb,bin,docs,lib,sessions,wtklib subfolders...
When using WTK22
You can try to create project and automatically goes to apps folder....
Then in its src subfolder saved your .java file example helloworld.java
Then in WTK22 emulator select open project > your created project then Run...
Hope this will help...