Java Database Connectivity (JDBC)

When try to compile my java code I get the following error message.

"unreported exception java.lang.ClassNotFoundException; must be caught or declared to be thrown"

I'm using BlueJ as my compiler. I have the following in my autoexec.bat file.
set CLASSPATH=C:\mysql-connector-java-3.0.16-ga\mysql-connector-java-3.0.16-ga\mysql-connector-java-3.0.16-ga-bin.jar;%CLASSPATH%
I'm running Windows XP Home edition. I tried setting the variable by right clicking My Computer / Properties / Advanced tab and then in the environment Variables. That did not help ether.
My goal is to connect to a mySQL database. I have pasted the following code. Any help is greatly appriciated. Thanks.

import java.io.*;
import java.lang.String;
import java.awt.*;
import java.util.*;
import javax.swing.*;
import javax.sql.*;
import java.sql.*;
import java.sql.Connection;
import java.sql.DriverManager;
import java.sql.SQLException;

public class stockSetupTest
{

	static final String JDBC_DRIVER = "com.mysql.jdbc.Driver";
	
	private Connection connection; // new code
	private Statement statement; // new code
	
	void getConn()
	{
	try {
                           Class.forName(JDBC_DRIVER);

// the line above this is where I have trouble with my compiler

       // used this line and it didn't work // Class.forName(JDBC_DRIVER).newInstance();  
	    connection = DriverManager.getConnection("jbdc:mysql://localhost:3306/stocks"); // user and password has been removed.
	    statement = connection.createStatement();  // new code to create statment
	    
	    
	   }
	   catch (SQLException ex)
	   {  // handle any errors
	       System.out.println("SQLException: " + ex.getMessage());
	       System.out.println("SQLState: " + ex.getSQLState());
	       System.out.println("VendorError: " + ex.getErrorCode());
	   }
         }
}