Anywhere you like. A class doesn't have to be stored in a special place or special way to be able to run it using command line arguments.
You can run it from a Windows command prompt with the
java command, something like this:
C:\Project> java -classpath classes org.mypackage.MyProgram arg0 arg1 arg2 ...
where
classes is the directory that contains the class files and
org.mypackage.MyProgram is the fully-qualified name of the class that contains the
main method, and
arg0,
arg1 etc. are the command line arguments.