This week's book giveaway is in the OCMJEA forum. We're giving away four copies of OCM Java EE 6 Enterprise Architect Exam Guide and have Paul Allen & Joseph Bambara on-line! See this thread for details.
In the Java Control Panel (probably in Start -> Programs -> Java -> Configure Java), you can choose "Show Console" in the Advanced tab.
Do you get any messages in that console when you try to start the Applet? "Debugging" has more options.
More information may be helpful in diagnosing the cause of the issue.
JavaBeginnersFaq "Yesterday is history, tomorrow is a mystery, and today is a gift; that's why they call it the present." Eleanor Roosevelt