Java Applets are basically mini applications (although they can be pretty robust) that are designed to run inside a web browser. While a regular Java Application can be ported to an Applet, it is better to write it as an Applet from the start if you know that's you want it to be. This is because all Applets must extend the Applet class. You can also extend JApplet which itself extends an Applet.
I'd recommend you start with the Applet lesson in the Java Tutorial to learn the basics of how to write an Applet.