This error (see screenshot above) only appears in conjunction with signed applets on systems with Windows Vista where onlince certificate validation is enabled. To solve this issue, you should disable this option. To do so, open the Java Control Panel, and go to Adanced / Security and make sure the checkbox next to "Enable online certificate validation" is not checked (see screenshot below).

Note: this option can be safely enabled on non-Vista systems. Furthermore, this option is turned off by default in most Java installations.