You can't, unless you have the Java Virtual Machine installed on the computer you want to run the class on.
COMPILE ONCE means the program is compiled into bytecode that is in a .class file.
'RUN ANYWHERE' means that a Java .class file will run on any machine PROVIDED that machine has the Java Virtual Machine installed on it.
Sun makes the JVM for many different platforms available for free download. It's called RTE, or Run-Time Environment, which among other things, contains the JVM.
The JVM just sits there doing nothing until you type 'java myclassfile' on the command line.
Cool, ain't it?