I'm not sure what you're asking makes sense. An applet is a java program that runs within a browser, meant for execution when the browser visits a particular web page. You could create the web page that references a (local) applet, I suppose, and gen up an autorun that caused the CD to 'execute' an HTML file when the disk was put into the drive -- does that sound like what you're after?

It's just odd that someone writes a Java program specifically meant for a web browser and then wants to distribute it on plastic. It would make more sense from several standpoints if you created a web page with your game and put the applet on that.