It sounds like you're not familiar with running Java applications from the command line. There are two ways forward: learn how to do it, or avoid the problem by finding a way of running XQuery without use of the command line. Let's try to help you with both, and you can choose.
(A) Using the command line
There's basic information on installing and runnning Saxon here:
http://www.saxonica.com/documentation/index.html#!about/gettingstarted/gettingstartedjava
You somehow found a very old version of this page.
Once you've got through the first 4 steps, you're in business. You've done step (1) (Installing Java) - we know that, because otherwise you wouldn't get this error message. You tell us you've done step (2) (downloading the software). It's not clear whether you did step (3) (unzipping it). And you're clearly attempting step (4) - running XQuery from the command line, but it's failing. The message tells us that it's failing because Java is running, but can't find Saxon on the classpath (which is the place where Java looks to find the Saxon entry point, net.sf.saxon.Query
If that doesn't help you, tell us exactly what you did: exactly what files are found where, exactly what you typed on the command line, and exactly what messages you got.
When you've got past that stage, there's more information about the XQuery command line at
http://www.saxonica.com/documentation/index.html#!using-xquery/commandline
(B) Tools that avoid the command line
Saxon doesn't itself provide any graphical user interfaces for running XSLT or XQuery, but there are plenty of tools that do, both commercial and open source, and most of them have Saxon as the underlying XSLT/XQuery engine (or at least offer Saxon as an option). They may not always support the latest version, but initially that's probably not a concern.
The best of these tools are commercial software: two products from vendors that work closely with Saxonica to integrate the product (e.g. by adding debugging capability) are oXygen and Stylus Studio. A cheaper product with less capability is Editix. Most of these probably have free evaluation licenses, so try them out.
The only open source GUI for Saxon that I know of is KernowforSaxon from Andrew Welch. It's great for doing simple things but I think it hasn't been updated for a while.