have you got windows XP? if you have, then i can take a stab and guess you ain't Java virtual machine downloaded/installed yet.
due to some issues between Microsoft and Sun(Java Gods) you had to wait till the SP1 CD was lauched... or download it from the Sun site. If you use a P2P package like kazaa then you can download it. search for "Java Virutal Machine"
but make sure you do a virus scan on it b4 u open the file.
hope this helps.
ps. i tried the site. no probs (i have JVM installed)