This week's giveaway is in the EJB and other Java EE Technologies forum. We're giving away four copies of EJB 3 in Action and have Debu Panda, Reza Rahman, Ryan Cuprak, and Michael Remijan on-line! See this thread for details.
If you have an HTML file that contains the applet tag, you can start appletviewer using Runtime.exec or the ProcessBuilder class. The HTML file would be a parameter on the command line (just like you'd run appletviewer normally).
If you want it to be part of your application, you can the class that extends applet to a Frame (of JFrame), since Applet extends Panel. Call init(), and then start() and stop() as appropriate. Be aware that you lose some applet features when doing it like this (namely, parameters and the applet context).