Go to http://www.xith.org/download.php and download the third-party libraries (copy it to xith3d home directory).
If you run a demo, you would see that it uses the batch file runtest.bat, which sets up the following classpath:
set PATH=%PATH%;../third-party/joal/windows
java -Djava.library.path=../third-party/jogl/jogl-win32;../third-party/joal/windows -Xmx50m -Xms20m -classpath ../third-party/jogl/jogl-win32/jogl.jar;../third-party/vecmath/vecmath.jar;../third-party/xith/xith_utilities.jar;../libs/xith3d.jar;../third-party/misc/vorbis.jar;../third-party/misc/junit.jar;../third-party/misc/log4j.jar;../third-party/joal/windows/joal.jar %1
This should ensure all necessary classes are found.
Good luck.
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Pedro Teixeira