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Sorry, I don't use Internet Explorer. I use chrome

I don't include the .class extension in the code= attribute. Filename.class is a filename. Filename is a classname. Some browsers want just the classname, not the filename.

It's best not to run software that you don't trust.

Have you tried changing the Security level of Java?
On Windows there is a Java Icon in the Control Panel where you can change the security level.