1) Download the Java plug-in from
http://java.sun.com/j2se/1.3/jre/index.html
2) Download the Java 3D run-time environment from
http://java.sun.com/products/java-media/3D/download.html
There are versions available for DirectX and OpenGL, most people seem to find that OpenGL works better.
3) Try the applet. If it doesn't work, check the following things:
Double-Click Java Plug-in on your control panel. Check that the plug-in is enabled. If you are behind a firewall, select the Proxies tab and uncheck "use browser settings", then enter the HTTP proxy address and port number and check "Same proxy server for all protocols" Select the Advanced tab and make sure that it is set to point to the correct Java Run Time Environment.(JRE).
Check that your path includes a jre/bin directory that contains j3D.dll and j3daudio.dll
Check that the jre/lib/ext directory contains j3dcore.jar, j3dutils.jar, vecmath.jar and j3daudio.jar, you may also have to add these to your CLASSPATH variable (using Start->settings->control panel->System->Environment).