Had little issue with applets not running properly. Turns out it's because they are not signed with a certificate.
After some searching, no clear explanation how to do it was available, but eventualy I found a stackoverflow post saying how to do it in 3 steps. I'll explain what does what.
Before signing your applet, make sure you have JDK installed, of course, and that the JDK path is set in system variable. You can find loads of tutorials how to do it with Point'n'Click method, but you can do much quicker and simpler with CMD and this is for Windows. I suppose you don't need to do this with Linux (<3):
Get your path to the JDK that you use (mine was C:\Program Files\Java\jdk1.6.0_26\bin), open the CMD and type path %PATH%;your_path_here
Hit ENTER and variable is set. It will only be usable after system reboot, so you have to restart the system now.
Now that it is sorted, proceed forward.
1. keytool -genkey -keystore myKeyStore -alias me
When this command is issued, it will ask for a password and other info to generate the key that you will make a certificate. "myKeyStore" is the name of your key, "me" is your nickname, or name...
2. keytool -selfcert -keystore myKeyStore -alias me
When this command is issued, it will ask for the password that you entered in the first step and generate the certificate. It will appear in your current working dir. "myKeyStore" here is again the name of your generated key, same with alias, that the key is associated to.
3. jarsigner -keystore myKeyStore jarfile.jar me
When this command is issued, it will sign your applet with the generated certificate so you can use it on the webs. "myKeyStore" is again the name of your key, "jarfile.jar" is the applet that you want signed and "me" is the name that the key is associated to.
That is it, very simple. For other applets that you want signed, you only have to do the third step, unless you want a new certificate...