1 >applets - running in browser JRE - my understanding is that the browser must have a JRE .Is JRE same as "plug in" at browser end ?
2 >Is an applet kept on the web server or application server ?
On the web server.
3 >I understand / assume - it gets downloaded at browser end - at which specific location on the hard disk can I get to see these class files / jar files
The files are kept in memory by the browser; they are not stored.
4 >The downloaded jar file - do I need to manually delete the file or browser does that automatically ?
The Plugin has a mechanism for caching applet jar files (in order to avoid downloading then again and again); see here for details. The Plugin Control Panel has some options on how big the cache can grow, and you can also turn it off completely. So, in general, you don't need to worry about that,
5 >Similar to server side memory configuration - ( -XMs ) is there a way I can improve the memory configuration for my browser ?
The Java Plugin control panel has some options for running applets; I'm not sure if changing the memory allocation is part of it, though. I think very recent versions of the Plugin (1.6_10 and newer?) allow you to set that.