You need to register autoload functions with spl_autoload_register. You need to provide a “callable”. The nicest way of doing this, from 5.3 onwards, is with an anonymous function:
spl_autoload_register(function($class) {
include 'classes/' . $class . '.class.php';
});
The principal advantage of this against __autoload is of course that you can call spl_autoload_register multiple times, whereas __autoload (like any function) can only be defined once. If you have modular code, this would be a significant drawback.
2018 update to this: there shouldn’t really be that many occasions when you need to roll your own autoloader. There is a widely accepted standard (called PSR-4) and several conforming implementations. The obvious way of doing this is using Composer.