Configuring proxy settings for Java

You can tell java to use your proxy internet explorer proxy setting by following the steps below.

"Start the Java Plug-in Control Panel by following these instructions:

1. Click the Start menu
2. Select Settings
3. Select Control Panel
4. Double click the Java icon.
5. Click on the Network Settings button.
6. Select the Use Browser Settings checkbox.
7. Click the OK button to save your changes.
8. Close all browser windows. Restart the browser and try to load the applet.
9. If the applet still does not load and you see the same connection error, try to configure your web browser's proxy settings."

source:http://www.java.com/en/download/help/5000020600.xml