Store all of your projects ( class file and your source code ) that you are working on presently in a folder at C:\Java and then store everything that you have completed in a folder labeled C:\Java Projects.
This is what I do and it makes it much easier to work with so when you go into DOS all you have to do is change your path to "C:\j2sdk1.4.0_03" and change your directory to C:\Java ( type "cd c:\Java" at your command prompt without the quotation marks )
I am assuming that you are using pergesu's tutorials as well. If not, pick them up and print them out over at http://www.javaspot.net/articles.php?action=display&cat=1
. They are great and I can't thank pergesu enough.
Catch me on MSN and we can chat about Java.