What do you mean by that? Does the applet cause network traffic? If so, it could only go to the same host where the applet is served from, possibly on a different port (unless the applet is signed, that is).
...the applet along with the webpage shod go to the clint side. And all data to and from applet should go throught the proxy.
I don't understand this. Can you give more detail about which network traffic you're asking about - from where to where does it go?