That's one of the restrictions of the sandbox in which the JVM runs applet as a security measure. Since the JVM has no control over what native code does (as opposed to to what Java code does, which the JVM can control), it forbids any execution of native code. More information about the sandbox can be found here.
The way around the restriction is either to sign the applet, or to relax the local security policy; both approaches are described here. [ September 11, 2007: Message edited by: Ulf Dittmer ]