1) You aren't waiting long enough -- the whole java applet has to download to your computer, which may take longer than some people realize. Unfortunately, there is no feedback that the download is in progress, so people assume nothing is happening. You might want to check the lights on your modem (or the red/green "lights" on the bottom-right corner of the screen using windows95).
2) You may not be using a java-enabled browser, like old versions of netscape or MS Explorer. Or, you could be using the right version, but the "enable java" checkmark is not checked. (see somewhere in the options/security menus.)
If you are still having problems, please mail me!