I once used an App Server called JRun that had you put your custom classes in a specific directory off of the JRun installation so that the app server could serve your custom classes. So I'd expect it to be in the documentation for the JSDK. I'm sure I saw it for the JSDK before I went with JRun.

Sorry if that doesn't help any.

Edit-
I found http://java.sun.com/docs/books/tutor...rt.html#config
which says that class files are put in
webpages/WEB-INF/servlets

Also, before that,
It is possible for you to configure various properties of the JSDK server before you start it. These properties include the server's port, which defaults to 8080, the hostname of the server, which defaults to localhost, and the document root, which defaults to the webpagessubdirectorythe JSDK installation. To see or update these configuration values, edit the default.cfg file in the JSDK installation directory.