setenv CLASSPATH .:$INSTALL_DIR/junit3.8.1/junit.jar
where $INSTALL_DIR is the directory in which you placed your unzipped junit3.8.1 directory. For example, on my system, I replaced $INSTALL_DIR with /Users/wallingf/software/java/, because that is where my junit3.8.1 lives.
This tells the system Java tools to look first in the current directory (that's what the . means) and then in the JUnit .jar file when looking for classes.
You should now be able to run JUnit from any directory. If you want to run the tests provided with the JUnit package, then you need to either