If you look at the API documentation for JApplet you'll notice that it has a method getJMenuBar(). It returns a JMenuBar. To me that suggests that a JApplet has a JMenuBar built into it, and that you could use it as a menu with options and all that.
I’ve looked at a lot of different solutions, and in my humble opinion Aspose is the way to go. Here’s the link: http://aspose.com