Why have you downloaded Sun Java ?
You can get the Microsoft Java Virtual Machine download from a number of sites:
I'm not getting involved in a debate on whether Microsoft or Sun produce a better product, but you'll probably find the Microsoft JVM will work better with Internet Explorer.
Sun used to include a warning in their documentation that it was not necessarily in your best interest to use Sun JVM as your default Internet Explorer java handler.
Give it a whirl and see how you get along.