| Could well be a security setting - what version of the browser are you using? I'm assuming it's Internet Explorer.
Java is a programming language that is commonly used for small applications on websites, amongst other things. There is a specific security setting for java in IE.
If you click on Tools --> Internet Options --> click on the Security tab and select Custom Level down the bottom. This will list a whole bunch of settings, if yo uscroll down you will see Microsoft VM which will have Java permissions underneath it. What have you got in there? | 
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