The problem  was that IE was not using the Java
Plugin. So now while loading  some applets I have to us
the following code in the html file:

<OBJECT
classid="clsid:8AD9C840-044E-11D1-B3E9-00805F499D93"
width="500" height="500" align="baseline"

codebase="java.sun.com/.../jinstall-13-win32.cab#Version=\
1,3,0,0">
<PARAM NAME="code" VALUE="sample.class">
No java  2 SDK, Standard Edition v 1.3 support
for APPLET!!
</OBJECT>

The above code uses the latest Java Plugin present on
your system & if the plugin is not present then
downloads it from the URL mentioned in the HTML code.