I am currently learning Java using the Deitel\'s book Java How to Program 8th edition (early objects version).
I am on the chapter on creating classes and methods.
You don't have to import classes that are in the same package as the current class.
Also, note that GradeBook.java is the name of the file. The (simple) name of the class is GradeBook. Every class should be in a package. If it is in the package com.foo.bar, the class name is com.foo.bar.GradeBook, and this is the name you must use when importing this class.
Read http://download.oracle.com/javase/tutorial/java/package/packages.html to learn more about packages.