Boy, I thought Microsoft had worked this out, already. Here's my understanding of the situation. Sun Microsystems holds the patents on the Java programming language. They sued Microsoft for including Java capabilities in IE. So, Microsoft had to remove its Java script capabilities from IE.
The bottom line is, you can download the Java Runtime Environment plug-in from Sun's website. Here's a link:
You want to click the link in the green box in the upper right hand corner that says free download. This will install Java Runtime Environment, which will allow you to run Java applets.
Another alternative is to use Netscape, which should have the plug-in built in.