Hi,
There is an option in the webstart application manager to turn on logging for applications. If you do this, then you can get at the log files from the directory: C:\...\Application Data\Sun\Java\Deployment\log\
This logging traps all output sent to the console (your standard System.out calls), so should get your exception too.
A console is actually available if you use webstart via
Java 1.5. You can turn on the console and see things output there as your application runs. I don't think the option is available pre 1.5 though.
Cheers, Jared.