I think you'd probably be better off checking with our neighbors, they'll probably be a lot better at helping you with SQL in java.
As to your comment about eclipse, that should work just fine, you can debug and compile stuff from within eclipse and have it run in the runtime. You do, however, have to make sure that your actions compile before starting the mendix runtime.
Btw, after rereading your question: did you paste your code between the BEGIN USER CODE and END USER CODE or did you paste ie between the EXTRA CODE tags? Methods always need to be inserted between the extra code tags. In your case, you're using a separate class, which you need to add in a different file, then reference it from the java action.
http://lmgtfy.com/?q=call+microsoft+SQL+stored+procedure+from+java
First hit ;-)