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When you download JUnit,[1] it comes in a Zip file. Unzip this to a convenient location, and then add the JUnit.jar file to your classpath. On my system, I placed the JUnit files under my Program Files directory in a subdirectory called JUnit4.1, so the classpath addition I made was
[1] Important note: As of this writing, JUnit has undergone a complete redesign. If you know JUnit and use it in an earlier form, this material may look unfamiliar to you, because the 4.0 release changed most of the mechanisms of the framework.
C:\Program Files\junit4.1\junit-4.1.jar;.