This message could mean two things:
(a) you have put Saxon 9.x on the classpath rather than Saxon 6.x - the command you are using is the one for Saxon 6.x
(b) you haven't set up the classpath correctly. It can be a bit difficult to diagnose this remotely because there are so many ways of getting it wrong. The best way is to describe exactly where you have installed Saxon, list the contents of the relevant directory, and explain how you set the classpath variable.
Alternatively, if you don't want to bother with the complications of running Java from the command line, why not try the Kernow front-end? You can find it at
www.sourceforge.net
Michael Kay
http://www.saxonica.com/
Author, XSLT Programmer's Reference and XPath 2.0 Programmer's Reference