I am a complete novice and want to install Saxon 9.2 (HE) on my Mac OS X leopard 10.5.4. I've got instructions to ensure that I have "saxon.jar in my CLASSPATH by opening a command prompt in the directory in which I've saved my document - helloworld.xml." I have then been instructed to use the following command line:

java net.sf.saxon.Transform -o HelloWorld.saxon.html HelloWorld.xml HelloWorld.xsl

The instruction explains that this tells Saxon to transform HelloWorld.xml using HelloWorld.xsl and directs the output of the transformation to HelloWorld.saxon.html. However, I am at a loss to know where to begin with this, without any experience of command-line programming I might do something else...irreversible.
If someone can tell me how to open a command prompt in the directory in which I've saved my document, and then precisely what I have to do next, and whether I have to repeat this process each time I want to create xml / XSLT documents.
Alternatively, does anyone know of an XML editor which validates against both DTD and XML schemas, does XSLT transformations, supports the Unicode character set and has a straight forward installation on the Mac leopard v10.5? Preferably open source and free.