There are multiple problems here... Under some JVM/OS combinations the JVM is pretty good at finding the installed fonts on the system and using those, under others, you have to go to great lengths to install fonts (i.e. install them in the lib/fonts directory of the JRE, then edit font.properties to include them correctly). This is for applications.
You have an additional problem because you are running as an
Applet. The applet runs on the JVM of the *user's* browser. If the *user* doesn't have the font installed, then the JVM will not know what font you are talking about, and will just use the default font.