Jim,
You didn't follow instructions that i posted. If you want to keep existing path to your .jsp files then you must follow instructions posted by sheriff Tony, therefore you must edit server.xml found in C:\Tomcat\conf directory.
If you want keep it simple then you must follow instructions posted by me earlier, which means that your .jsp pages must live in C:\Tomcat\webapps\ExJSP\MyFirstJSP.jsp.
If you can run default examples than your CLASSPATH, JAVA_HOME & TOMCAT_HOME are set correctly.
follow this steps
1. Create folder called ExJSP in C:\Tomcat\webapps
= C:\Tomcat\webapps\ExJSP
2. Put MyFirstJSP.jsp in this folder
= C:\Tomcat\webapps\ExJSP\MyFirstJSP.jsp
3. Start Tomcat or restart it if its running already so the changes take affect.
4. Open up your browser and type
http://localhost:8080/ExJSP/MyFirstJSP.jsp This is it.
The error message you are getting at the moment means that Tomcat can't find directory ExJSP therefore MyFirstJSP.jsp can't be found as well. Reason for this is because your folder/file does not live in C:\Tomcat\webapps and the place where it lives "c:\tomcat\ExJSP\MyFirstJSP.jsp" is not configured in server.xml.
If you follow the steps i describe above, you can't miss it.
Hopefully after you get some sleep you'll clear your head up a bit an stay with me on this one, OK...