You need to include grinder lib dir to CLASSPATH on to your shell. Make sure your environment variable has path added. As a thumb rule make sure GRINDERPATH, GRINDERPROPERTIES, CLASSPATH & JAVA_HOME are set before you start Grinder
I would suggest you to create environment variable file (or even add to startup profile script) with the above mentioned data & add it to shell profile. This will ensure that your path are set correctly
set GRINDERPATH=<em>(full path to grinder installation directory)</em>
set GRINDERPROPERTIES=<em>(full path to grinder.properties)</em>\grinder.properties
set CLASSPATH=%GRINDERPATH%\lib\grinder.jar;%CLASSPATH%
set JAVA_HOME=<em>(full path to java installation directory)</em>
PATH=%JAVA_HOME%\bin;%PATH%
If the setting does not solve it for you, then an you print CLASSPATH using "echo" and verify the presence of your JAR file? Paste it here along with the command that you are using to launch Grinder