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Well done asking about PATH. If you don't have a CLASSPATH already set, you don't need a CLASSPATH. You very definitely do need a PATH however.
Here are the installation instructions for Windows.
Ignore anything about "optional" and look on this as compulsory
In section 4 look where it says "set PATH permanently". The PATH entries are separated by ; semicolons and begin with the drive letter (usually C) and end with bin. The example they quote (C:\Program Files\Java\jdk1.6.0_<version>\bin) would appear as C:\Program Files\Java\jdk1.6.0_16\bin for the most recent update. This presumes you have allowed the Java installer to install Java in its default location.
Remember to open a new command prompt before the PATH becomes operational.