This is a pure Java question and not related to DB2 at all.
Firt: Do not change (or use) the CLASSPATH variable, it is no longer needed.
When starting your application you need to specify the jar files that your application needs:
Code:
java -cp myapp.jar;db2java.jar mypackage.MyMain
For more details refer to the manual:
http://download.oracle.com/javase/6/docs/technotes/tools/windows/classpath.html