Please don't shout in all-uppercase; it's considered rude just about everywhere on the 'net. Next time, you might also use a more descriptive subject line: in the applets forum, "applet problem" does not tell people anything.
I'm not sure I fully understand the question, but the applet is not stored as a file anywhere on the local machine. It's downloaded by the JVM, and the classes are kept in its class cache. If you want the class files on your computer, you need to download them through the browser manually, one by one.