Urs, javax.servlet is part of Java EE not Java SE. Your server (Tomcat, JBoss, etc) comes with a file called j2ee.jar or servlet.jar. Add this to your classpath when compiling.
Now it worked, I could compile it. I did it like that:
set classpath=C:\Programme\Apache Software Foundation\Tomcat 6.0\lib\servlet-api.jar
Then:
javac myFirstServlet.java
But I do not want to enter the first line always. Is it possible to set it in the operating system, in Microsoft Windows XP you can set in System the variables.
You can set the CLASSPATH as either a user variable or system variable. As the name says, if it is set as a user variable, it is available for the particular user. If it is set as a system variable, the classpath is available to all.