Has anyone ever used the MySQL Connector/J to interact with a MySQL database?

I'm having trouble getting it to work at all. I've downloaded it, and attempted to put it in multiple locations. I've set my path variable, I've put it in the directory with the source, I've even tried using CLASSPATH to point to it...but no matter what I do, I get this error:

java.lang.ClassNotFoundException: com.mysql.jdbc.Driver
It manages to compile without any errors or warnings...just won't run.

Has anyone accomplished this before that can walk me through it or provided some suggestions?

I've been over the readme file and various internet sites trying to get it to work with no avail.