In recent times the security required to allow applets to run in browsers have been significantly strengthened. This has removed a number of security issues with running applets but a side effect is that many applets that used to run happily in a sandbox no longer work as they are not signed by a certified trusted authority and hence do not pass the stringent new requirements.
So why have I not signed my applets so they will work without issue - the answer is simple, getting a certificate from a trusted authority costs money.
But don't dispare if you want the applets to run you can add an exception to the Java Control Panel to allow applets from this site to run. If you do add the exception to the Java control panel then on loading a page containing an applet you will be asked if you are happy for the applet to run so nothing will be run without knowledge and express permission.
To add an exception you need to: