Signing an applet is a major pain, no matter what OS you're doing it for. For one thing, Microsoft browsers use a completely different scheme than everyone else. And, alas, even if you sign the applet, the security rules must currently be manually updated on the user's machine. 9 times out of 10 people who think they need a signed applet are simply not working within the constraints of good J2ee design. They're trying to do a 2-tier database app (SQL Slammer anyone?), read/write local files (makes for problems keeping things backed up on an enterprise basis), talk directly to a different server than the one that the applet came from and other such things. For the 10th case, you need to read a fair amount of documentation. Sadly, I know of no books that cover applet signing, so that mostly means the java.sun.com online docs.
An IDE is no substitute for an Intelligent Developer.