This applet requires the latest Java Virtual Machine (JVM).  You can check to see if you have the latest JVM installed in Explorer by going to: 

Tools

Internet Options

Advanced Tab

Scroll down to see if "Java (Sun) is there

If it's there, is "Use Java 2 v1.4.2_16 or greater for <applet> (requires restart)" checked?

If not you can install it by:

Install the Java Virtual Machine (JVM) by going to:

JAVA Download Page

and clicking on the first DOWNLOAD link (the one after "Windows (U.S. English only) under

"Download J2SE^TM v 1.4.1_02".

This installs the latest version of Microsoft's JVM.  It's a big file; depending on your download speed the install can take several minutes.