What did you download and how did you run it?
HelloXith3D is in the package org.xith3d.gsg, so you have to pay attention. Here's the readme file:
If you want to modify the sourcecode of a tutorial to play a bit around with it, you can use the following commands to compile and run it (where MainClass is the name of the class you want to start and "the_example" is the name of the example):
javac -d classes MainClass
java -cp classes/ org.xith3d.gsg.MainClass
xith3d.jar must be in your classpath of course.