If you came to this page you are probally working with Windows Xp SP1a (mind the a) or SP2. Trough an ordinary figth between Sun and Microsoft the latter removed the abbility to run java applets in indows XP (from june 2003)

If yoy wish you can still download this software for free at Sun Microsystems. Do accept ActiveX whne the small yellow bar pops up with SP2.

Here is the official article from Microsoft..