It is probably your security settings. I have it running it both IE7 and Firefox 2.0. In both cases, I get a dialog that pops up that asks if I'm willing to trust the component. While I'm normally a rather skeptical sort, in this case I agreed to run the unsigned code. Also, it is a java applet so if you have a version of XP without Java it won't run.

[Large Disclaimer: if you don't have confidence in the site that is trying to run a java applet or an active X control you should never, ever run it, regardless of who told you it was OK]