You can use the codebase parameter of the applet tag to anything...
<applet codebase="http://somewherelese.com/applet/" code="com.my.Applet.class" archive="applet.jar">
...
Where the code is the class in the jar, the jar is in the directory defined by codebase. Codebase does not need to be the same server as the web site, but the applet can only talk to the server defined by codebase. (unless signed)