Java Applet not initiating

I'm new to Java and have been going through the SAMS "Teach Yourself Java 2" and have a problem will Applets. I am using the latest download of Java2SE (J2sdk1.4.2_09) and NetBeans IDE.
Creating Java programs works fine but when I do the exercise for Applets called "Palindrome" project, it fails. I embed the <APPLET> tag in my HTML a couple different ways laid out in the text but all fails. I doing this without the Internet. Is there something special that I need to do to get this to work with the generated palindrome.class on my hard drive.
I did make some changes to my computer's Internet settings based on an FAQ I saw on the Sun site - Proxy_Server - localhost. But this did not solve my problem.
I would appreciate any suggestions on how I might further investigate this - I'm sure I have something set wrong and just need some more test options to identify the problem.
Your assistance is greatly appreciated.
Thanks
Don

I checked the Browser VM and it shows the same as the one in the Java Plug-in control panel but I continue to get the same error. Can anyone with some Java experience identify the problem from this error code:
Java(TM) Plug-in: Version 1.4.2
Using JRE version 1.4.2_09 Java HotSpot(TM) Client VM
User home directory = C:\Documents and Settings
Proxy Configuration: Manual Configuration
Proxy:
Proxy Overrides:
c: clear console window
f: finalize objects on finalization queue
g: garbage collect
h: display this help message
l: dump classloader list
m: print memory usage
o: trigger logging
p: reload proxy configuration
q: hide console
r: reload policy configuration
s: dump system properties
t: dump thread list
v: dump thread stack
x: clear classloader cache
0-5: set trace level to <n>
load: class Palidrome.class not found.
java.lang.ClassNotFoundException: Palidrome.class
     at sun.applet.AppletClassLoader.findClass(AppletClassLoader.java:162)
     at java.lang.ClassLoader.loadClass(ClassLoader.java:289)
     at sun.applet.AppletClassLoader.loadClass(AppletClassLoader.java:123)
     at java.lang.ClassLoader.loadClass(ClassLoader.java:235)
     at sun.applet.AppletClassLoader.loadCode(AppletClassLoader.java:566)
     at sun.applet.AppletPanel.createApplet(AppletPanel.java:619)
     at sun.plugin.AppletViewer.createApplet(Unknown Source)
     at sun.applet.AppletPanel.runLoader(AppletPanel.java:548)
     at sun.applet.AppletPanel.run(AppletPanel.java:299)
     at java.lang.Thread.run(Thread.java:534)
Caused by: java.io.FileNotFoundException: A:\Palidrome\class.class (The system cannot find the path specified)
     at java.io.FileInputStream.open(Native Method)
     at java.io.FileInputStream.<init>(FileInputStream.java:106)
     at java.io.FileInputStream.<init>(FileInputStream.java:66)
     at sun.net.www.protocol.file.FileURLConnection.connect(FileURLConnection.java:69)
     at sun.net.www.protocol.file.FileURLConnection.getInputStream(FileURLConnection.java:156)
     at sun.applet.AppletClassLoader.getBytes(AppletClassLoader.java:274)
     at sun.applet.AppletClassLoader.access$100(AppletClassLoader.java:43)
     at sun.applet.AppletClassLoader$1.run(AppletClassLoader.java:152)
     at java.security.AccessController.doPrivileged(Native Method)
     at sun.applet.AppletClassLoader.findClass(AppletClassLoader.java:149)
     ... 9 more
Any assistance you can offer will be greatly appreciated.
Don

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