You could use a network sniffer to detect where the applet gets its data
from. This shouldn't be to hard to do, the applet needs to get the data
from the same domain as the applet is from, so you can set up a filter
in the sniffer to get all requests and data that is send to and from
that domain. The applet probably just makes plain http requests.

Once you have the location of the qoute data you can write your own
application to get the data and store it into a mysql database. I would
suggets you use PHP and Curl. You might have to fake some http request
headers, you can get the correct once from the network sniffer.

I have done this type of thing myself a number of times and it really
isn't that difficult.

Bastiaan

Just to give you a bit more information.

The quotes are fetch by the applet from the following location:

http://balancer.netdania.com/StreamingServer/StreamingServer?xpoll&sessid=XXXXX

The XXXXXX seem to be some unique number which the quote server uses to
determine which quotes it needs to send you.

These are the complete HTTP headers:

-----------------------
GET /StreamingServer/StreamingServer?xpoll&sessid=XXXXXX HTTP/1.1
Cache-Control: no-cache
Pragma: no-cache
User-Agent: Mozilla/4.0 (Linux 2.6.8-2-686-smp) Java/1.5.0_03
Host: balancer.netdania.com
Accept: text/html, image/gif, image/jpeg, *; q=.2, */*; q=.2
Connection: keep-alive
Content-type: application/x-www-form-urlencoded
Cookie:

-----------------------

If you have curl installed you can fake most of these headers with the
following command:

curl -d '' -A 'Mozilla/4.0 (Linux 2.6.8-2-686-smp) Java/1.5.0_03' -H
'Cache-Control: no-cache' -H 'Pragma: no-cache' -H 'Accept: text/html,
image/gif, image/jpeg, *; q=.2, */*; q=.2' -H 'Connection: keep-alive' -H
'Cookie:  ' -H 'Content-type: application/x-www-form-urlencoded'
'http://balancer.netdania.com/StreamingServer/StreamingServer?xpoll&sessid=XXXXXX'

The important bits seem to be the empty Cookie: and the empty submitted
form. I haven't been able to get those to submit.

Good luck.
Bastiaan