Not sure to understand why you don't want the whole game compiled at once.
Anyway, Java allows to run scripting languages, like JavaScript (out of the box), Lua (several interpreters like Kahlua or LuaJ), Groovy (more Java-like) or similar. Or even a Java interpreter like BeanShell.

I want to use external code because I want that other people can make new items easy without asking me every time that I could recompile the code.

My other problem is that when I loaded the class I cant execute anything from it because I would have to call the functions in the precompiled game. But then I would have to recompile it every time ther is a new item,

Well, using a scripting language is the usual answer to your need. Lua is often used in games because it is a simple (yet powerful) language, so even non-technical people can use it to design AI algorithms, or customize items like you describe.
Another way is to use plugins (like Eclipse does), but it is a harder way, needing the user to compile them and package them in jars, and it might need a restart of the application. More aimed at deep changes.
Or as you asked, you can recompile pure Java code on the fly. After all, that's why Processing does, although the PDE doesn't interact with the generated code, so I am not sure how practical it can be.