The binary download was missing some paths and had wrong version numbers for some includes,
Also- it doesn't state anywhere I could see that you need to add environment variable QFJ_HOME, although it's obvious when you open the classpath.bat.
This worked for me:

set CP="%CLASSPATH%"
set CP=%CP%;"%QFJ_HOME%/core/target/quickfixj.jar"
rem For Eclipse build
set CP=%CP%;"%QFJ_HOME%/classes"
rem For binary release
set CP=%CP%;"%QFJ_HOME%/quickfixj.jar"
set CP=%CP%;"%QFJ_HOME%/quickfixj-msg-fix40.jar"
set CP=%CP%;"%QFJ_HOME%/quickfixj-msg-fix41.jar"
set CP=%CP%;"%QFJ_HOME%/quickfixj-msg-fix42.jar"
set CP=%CP%;"%QFJ_HOME%/quickfixj-msg-fix43.jar"
set CP=%CP%;"%QFJ_HOME%/quickfixj-msg-fix44.jar"

rem For build environment
set CP=%CP%;"%QFJ_HOME%/core/src/main/lib/mina-core-1.0.1.jar"
set CP=%CP%;"%QFJ_HOME%/core/src/main/lib/backport-util-concurrent-2.1.jar"
set CP=%CP%;"%QFJ_HOME%/core/src/main/lib/slf4j-api-1.3.jar"
set CP=%CP%;"%QFJ_HOME%/core/src/main/lib/slf4j-jdk14-1.3.jar"

rem For binary release
set CP=%CP%;"%QFJ_HOME%/lib/mina-core-1.0.1.jar"
set CP=%CP%;"%QFJ_HOME%/lib/backport-util-concurrent-2.1.jar"
set CP=%CP%;"%QFJ_HOME%/lib/slf4j-api-1.3.0.jar"
set CP=%CP%;"%QFJ_HOME%/lib/slf4j-jdk14-1.3.0.jar"