I expect that the actual .class files for the Java classes with names starting with java. and javax. are packed into Java ARchive (JAR) files, whose names I don't know offhand. This saves disk space and makes searches for the classes your programs need faster and less platform-dependent.
If you want to explore the Java library classes, just download the source code here:
http://java.sun.com/j2se/1.5.0/download.jsp Not only do they help you understand these classes better, but the code itself was written by some of the best Java programmers around and I found the coding style, organization, and use of encapsulation worth studying.
One
word of warning: writing programs that depend on the internal structure of library classes, not just their public interface, is considered bad practice and is risky because Sun is free to change implementation in new releases even if this breaks your code.
Seeing the way the Java language is used by James Gosling and his colleagues refutes some of the coding no-no's I have seen in school and on this site. It reminds me of the Woody Allen movie "Annie Hall". Standing in line for a movie, Allen gets incensed when a loudmouth misinterprets the work of Marshal McLuhan so Allen pulls McLuhan himself from off-camera and McLuhan corrects the man.