Applets operate with lot of security constraints, they cannot download classes from anywhere other then the server they were downloaded from. Even if an applet downloads all the required classes for remote method invocation, I dont think they will be allowed to talk to a different Server( EJB server ) because of security restrictions.
The main thing you need for an Applet to access an EJB is to decide which protocol you wish to use. Applets can usually make use of RMI, back to the originating server, at least, unless there is a harsh firewall in between. If RMI is not an option, consider an HTTP-tunneling solution, or even a completely HTTP-based EJB interface. For an interesting example of this see the EJB capabilities of the Resin web server at http://www.caucho.com/ .