Hello,
The Class table has no relationship to the Opportunity table. First, you are creating a drop down properly, but its not a relationship to the Opportunity table and won't save. Second, The Opportunity table has a couple screens associated with it. Namely CRM_NewOpportunity and CRM_EditOpportunity which displays when creating an opportunity and when selecting and editing an opportunity respectively.
the best thing to do is create a relationship from the Opportunities table to the Class table. Go to Customize -> Tables/Fields and select the Opportunity table. Add a New Field called Class with a Field Type of Dropdown. Click 'Add Field' and go through the wizard making sure you have selected the Class table in Step 2. Click Finished Editing Fields. Now there is a relationship to the Class table in the Add Fields tab that you can drag and drop onto your Opportunity screens.
You can check out the webinars for more information on customization or post your questions here to get help from the Community. We do offer customization services as well. Information can be found here.