I'd suggest you put the class files in the same directory as the page on which it will appear. Some implementations of Java will not allow you to put the .class file in one subdirectory and the image file in another. If the try it might cause a security exception. Some web browsers have trouble opening applets straight from a hard disk. I have noticed this happen with Internet Explorer 3 and Netscape 4.
Class files are binary files, just like image files are.
You should transfer them in the same way that you transfer image files. This is a very common problem. Your transfer program has changed the name. This does happen. Other will change the case of the letters to either all uppercase or all lowercase.