Don't go the java applet route.
If you want to make a quick casual game, make it Flash; else, develop a full-blown java app and run it via java web start.
Try Tower to see how far you can go using java as a platform, and also how Java Web Start works.
As for progress-bar thing, I recommend you to implement those files' loading and actually use them before you go for progress-bar eye-candy :)
