This is the app in question. It works fine for me. Of course, that probably doesn't help much. If you are just seeing a gray window but the GUI works, it might be because you don't have Opengl drivers for your video card installed. Can you run any other programs that require Opengl?
I know that http://java.sun.com has really started using JWS over Applets for their GUI examples. And a lot of other people are using it for demo purposes. When an app I wrote for where I work was a Swing GUI and not a Web App, I used JWS and it worked wonderfully.