From the Java Applet Troubleshooting Guide:

Proxy Servers

If your browser is behind a proxy server, please set up your Java JRE as follows: 

• Open the JRE control panel:
  
  • Windows: located in system control panel under Java (Start>Control Panel>Java - If this isn't visible, ensure you're using "Classic View", and not "Category View");
  • Linux: located in System>Preferences>Java (or execute jcontrol from the command line);
    
• Click the "General" tab, then click the "Network Settings..." button. Enter  proxy settings as directed by your local system administrator;
• Restart your web browser.