The jar file containg the com.mysql.jdbc.Driver class  is not inthe class
path.

There are 2 ways you can add them.

Option 1: Use the -cp with the java  command

eg:
C:\jdk1.3.1_01\bin>javac -cp <path_to_jar_file> testconnj.java

Option 2 : Place the Jar file in C:\jdk1.3.1_01\jre\lib\ext directory.

These types of errors are thrown when the Default classloaders of your
class is not able to load the class into the JVM.