Change the cmd/command window to the directory that contains the class file.
Use this command to run it. Be sure to include the period and surrounding spaces.
java -classpath . name_of_the_class
If that works, then read about the classpath here
http://java.sun.com/j2se/1.4.2/docs/tooldocs/tools.html
The Installation Instructions for the Java package that you downloaded has detailled instructions on setting the path in paragraph #5. The same instructions apply to setting the classpath.