Go to this web page. Do the java applets on this page work? Can you see them in your browser.

If you can't see them, then java is not installed correctly on your machine. Download Java and get it set up properly.

If you can see them, then java is installed properly so you must be doing something wrong with either compiling your program or embedding it into the webpage. Try running it from the console, like Sidewinder has been suggesting. Post any error messages that you get from doing this.