If you search Java's bug database and verify that the problem hasn't already been reported, then you can fill out a bug report. (And delete them if desired.) Don't report anything unless you're pretty sure it's never been reported.
Otherwise, if you aren't going to report or use them, you can delete them.
You can try to post the stuff here, but our ability to really help if you are on MS Windows is limited because most of the symbol information are left out of the shipping Java binaries and because if the problem is not Java then there are a large number of "other" possibilities.
Here are some cases I have tried to help on:
Success in helping
http://forum.java.sun.com/thread.jspa?threadID=600001
http://forum.java.sun.com/thread.jspa?threadID=635040
Failure in helping
http://forum.java.sun.com/thread.jspa?threadID=606263
http://forum.java.sun.com/thread.jspa?threadID=608027
Original poster not helped, but somebody else was helped:
http://forum.java.sun.com/thread.jspa?threadID=600001
You could look through these lists and see if anything looks familiar:
http://www.google.com/search?q=iexplore.exe+applet+crash+site:forum.java.sun.com
http://www.google.com/search?q=iexplore.exe+java+crash+site:forum.java.sun.com
Also, here a tool I threw together to try to decode those ugly error codes if you can see one of those:
http://forum.java.sun.com/thread.jspa?threadID=509692
So the problem could be:
1. The applet exercises a Java bug, which may or may not be in the bug database
2. You IE has something added, a filter or toolbar, that is helping to cause the problem
3. You system has some problem, like the video card driver
It can get pretty difficult to even try to understand what the problem might be, let alone finding a fix for it, but you might get lucky.
Oh, my thoughts were trailing off there for a moment. If you have a Hot Spot Error, then you will have a short log and an error code.
You can post the log, but you can also just take the first step by upgrading your JRE or JDK. I recommend just going to the lastest version of JDK 1.4 or the latest version of JDK 1.5 . Those are the most mature and Sun does steadily make progress fixing Hot Spot bugs.