Applets are a very safe way to enjoy Internet games. Applets are 
severely restricted as to what they can do, to prevent harm to your 
computer or compromise of your personal information. Applets cannot 
read or write the data on your hard drive, and they cannot access 
the clipboard. They run in a 'sandbox' within your browser. 

To prevent an unscrupulous developer from 'spoofing' a System Window, 
and fooling you into entering passwords, etc., the Applet displays a 
little yellow triangle with an explanation point next to each Applet 
Window. These little warning graphics can be annoying. Luckily, you 
can rid yourself of them with a just a few steps, if you want:

1.  In Windows Explorer, find your Java folder (typically 
    C:\Program Files\Java\jre6\bin). In it, you should find 
    policytool.exe. Double-click it to launch it. 

2.  In policytool, go to FILE -> OPEN, and browse to 
    C:\Program Files\Java\jre6\lib\security and open java.policy.

3.  Select codebase 

4.  Edit policy entry

5.  Add permission

6.  Choose AWTpermission from the dropdown

7.  Then target name: showWindowWithoutWarningBanner

9.  Click OK

10. Finally, FILE -> SAVE

No more yellow exclamations!

Note: Your paths might be slightly different than shown above.