Microsoft released a critical update to Internet Explorer yesterday that
will result in users seeing a message about needing to click the mouse or
keyboard to activate a Java applet, typically "Click to activate and use
this control".  Here are some details from a Washington Post story about the
problem and below is how to change the code invoking your applets to prevent
this problem.

As described by the Washington Post (though they don't mention that Java
applets are affected as well):
http://blog.washingtonpost.com/securityfix/2006/04/the_skinny_on_microsoft_patch.html
"... the IE patch isn't all security updates: It also includes a
non-security fix that could make surfing the Web a tad less smooth for IE
users. Microsoft first released this particular fix in February as voluntary
update (that is, if you use Windows Update or Automatic Updates you wouldn't
have seen this patch before now without some digging) to addresses a patent
spat that Microsoft had with Eolas Technologies over the way IE handles
ActiveX controls. Rather than pay to license the process, Microsoft opted to
require Web sites that currently use ActiveX to integrate interactive
features such as Macromedia Flash, Apple's QuickTime Player, RealNetworks's
RealPlayer and Adobe's Reader to redesign their sites to accommodate the
fix. Sites that use ActiveX to serve content to IE users but put off making
the changes will force those users to generate an extra mouse click to
activate those features on the site. "

Microsoft described how to work around this problem by moving the
applet-specifying code into a separate JavaScript file:
http://msdn.microsoft.com/library/default.asp?url=/workshop/author/dhtml/overvie
w/activating_activex.asp
A working example of how to do this for a simple "Hello world" applet is
described at www.segal.org/java/HelloPatent/.