Until around 2013, virtually all web browsers were able to run most Java applets without difficulty, just by clicking on them. However, recently many web browsers have put up security obstacles, which makes this more challenging.
Usually it is possible to cajole your browser into agreeing to run the applet. Indeed, Java applets can still be run in Firefox, Internet Explorer, and Safari (though not by Chrome nor Microsoft Edge). But getting them to run is often surprisingly difficult.
Info and solutions are available at java.com, and for Macs on this discussion page and for Safari from apple.com.
Alternatively, you can download the html and class files (e.g. this html file and this class file; on probability.ca the class file always has the same url as the html file except replace "html" by "class"). You can then the applet yourself using e.g. appletviewer or the full Java kit. This should work well once you get appletviewer running on your computer.
For Windows machines with the Firefox browser, the following steps (based on notes by Martin J. Osborne) apparently work to get Java applets running: