I got it working...I had mis-understood how it works.  

Step 4 :  This step is executing for the java client.  Leave this running!

      How To in Windows....I put stuff in C:\NXT folder...Then...
      Start -> RUN -> CMD.exe  
      > cd \Nxt
      > java -cp Nxt.zip Nxt

      Place these two lines in a text file and rename NXT.CMD and all you need to do is click on it.

Step 5 : Paste "http://localhost:7875" in your browser of choice.  {Step 4 must be running!}

Seems to be working fine.  Thanks