In the Helpfile section of the September issue of Computer Buyer, (page 298), there is an interesting article about this. It appears that a many sites are sticking the the Microsoft version of Java, (called "Microsoft Virtual machine"). As a result the "real" Sun version will not run correctly, if at all.
It is suggested that install both Java versions, and if you come across a site that does not run using the Sun version, go to Internet Explorer, Tools, Options, scroll down until you find a check box to enable SunJVM, and clear it.
If later, you come across a site that does not run properly on the Microsoft version, repeat the process, ticking the box to re-enable it. Fuller details can be found here: