If you're trying to protect yourself from malicious Java applets, I'd run through this checklist:
- Disable the Java plugin on all of your browsers. If you're not using Java at all, uninstall the JRE completely.
- If you need Java on a browser, get a portable copy of Firefox or Chrome and only install the plugin on that. Then use a tool such as Sandboxie to completely isolate the process from the rest of the system.
- Keep up to date with all Java patches, as well as patches for your OS and browser.
- Make sure your firewall is properly configured and up to date. Some of the better firewalls often have signatures that catch known malware applets, which can be a nice barrier.
- Use an AV, even if it's Microsoft Security Essentials.
- If you're really paranoid, only install and use Java in a dedicated virtual machine. This is pretty much the only way to make sure you have a good chance of not getting owned by Java malware.