To run a class file, go to the EditPlus window with the source file you want to run (rather, the source file that is associated with the class file you want to run), and select "Run Java Class" from the Tools menu. If you prefer using the keyboard, you can also run the class file by pressing the Ctrl-2 keys.
Note that the keyboard shortcuts may vary if you have already created user tools. You can see what shortcut keys are associated with your tools by looking at your tool menu items in the Tools menu.