Thanks everyone for your suggestions.
I somehow managed to compile my first clojure program, generating a
class file that I could run using java.
I started with the overview provided by Stuart Sierra, and read the
article pointed by Raphaƫl. Didn't work at first, but after some trial
and error, it worked somehow. The main problem is that I don't know
any Java yet (I just started reading Core Java vol.1 as suggested by
this group a few days ago).

Anyways, I am mentioning the process I used. Please suggest any better
(shorter/simpler) ways if you feel this is not the right way to do it.

1. I created a simple test2.clj file in my $HOME:
-----------------------
(ns test2
  (:gen-class))

(defn -main [& args]
  (println "Hello, world of Clojure!"))
------------------------

2. I started a clojure REPL, from a terminal:
------------------------
sant...@lenny:~$ java -cp /home/santanu/:/opt/clojure/clojure.jar
clojure.lang.Repl
------------------------

3. Inside the REPL, I compiled my program using:
------------------------
(binding [*compile-path* "/home/santanu"]
  (do
    (load-file "test2.clj")
    (compile 'test2)))
------------------------

4. Got out of the REPL, and ran the program using:
------------------------
sant...@lenny:~$ java -cp ./:/opt/clojure/clojure.jar test2
Hello, world of Clojure!
------------------------

One thing I noticed was that the above run takes an aweful amount of
time to run, much much more than a similar compiled java program:

-------------------------
sant...@lenny:~$ time java -cp /home/santanu/:/opt/clojure/clojure.jar
test2
Hello, world of Clojure!

real    0m1.093s
user    0m0.952s
sys     0m0.064s

sant...@lenny:~$ time java Test
Hello, World of Java!

real    0m0.105s
user    0m0.040s
sys     0m0.008s
-------------------------
I think I am definitely missing something here.

Regards,
Santanu Chatterjee
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