If the 4 images that you have are from the same sensor type (RapidEye ? ), then you can make a mosaic using, for example, the ERDAS software.
Here is a tutorial for making the mosaic in ERDAS, step-by-step :
http://www.gis.usu.edu/~alex/WILD6750/Lab05/Lab05/Lab5_Mosaic_TourGuide.pdf
Just like the LANDSAT image mosaic.
After you make the mosaic, then you can use the Supervised image classification image.
Here you can see a video tutorial, using ERDAS software:
http://www.youtube.com/watch?v=I1FwzIC7XlU
Good luck !