Java Database Connectivity (JDBC)

Hi, I'm getting a "unreported exception java.lang.ClassNotFoundException;" error
when I try to use the JDBC/ODBC driver in the NetBeans IDE 3.5.1 (Java 1.4.2).
(Running on an MS WinXP box)

I've trolled the forums for a few and a lot of people talk
about jar files and classpath and stuff, which is a little over my head.

Is there a specific jar file I need to have on my machine for this to work?
Where would I get it?
Where would I put it?

Right now Java/NetBeans is living on my machine at:
C:\java\
With folders: j2sdk1.4.2\ and netbeans3.5.1\

Any help would be GREATLY appreciated.

Below is the entire code of the program I'm trying to run:

import java.sql.*;
import java.io.*;

public class DatabaseConn3 {
  public void selectData() {
      Class.forName("sun.jdbc.odbc.JdbcOdbcDriver");
  }
  public static void main(String[] args) {
    DatabaseConn3 SelStatment = new DatabaseConn3();
    SelStatment.selectData();
  }
}