The driver must be defined on your CLASSPATH before you can connect. The CLASSPATH is the search string your Java Virtual Machine (JVM) uses to locate JDBC drivers on your computer. If the driver is not defined on your CLASSPATH, you will receive a class not found exception when trying to load the driver. Set your system CLASSPATH to include the sforce.jar file as shown, where install_dir is the path to your product installation directory.
