I would like to import a java class in a python script.
where is the directory to put my JAR ?
You can stick them in your Java installation. I use the following location for a 32-bit Windows system.
.dll c:\Program Files\Java\jre6\bin\
.properties c:\Program Files\Java\jre6\lib\
.jar c:\Program Files\Java\jre6\lib\ext\
You likely will need to update the CLASSPATH environment variable to add the location of the .jar file. And likely reboot to make it stick.
The above approach will work for a single computer. If you only need it in the Gateway, this can work.
For a more robust solution, roll the jar into your own module and install it - this way it can hook into the web-launch system and get distributed to clients/designers if need be.