If this is your first Mac you won't need Classic. You'll probably never run across any application in which you'd need it in order to run, if so there is more than likely an OS X alternative.

The 25 tour.

When Apple came out with OS X it was entirely different from OS 9, they were based on two different platforms, like Mac and Windows are different platforms, so OS 9 applications would not run natively in OS X. Apple made the Classic Environment to launch System 9 while running OS X. It let us run System 9 applications, for us that couldn't afford to update to OS X applications, or for applications that did not yet have an OS X alternative.

I haven't run Classic in years, as is the case with most of use here except those in production work of some kind where there never was an alternative to their program, or the upgrade costs to OS X alternatives weren't justified.

So don't worry about finding it and installing it.