See below for SSH-related links.
In order to use this applet, you need to be using a Java-capable web browser and have Java turned on. (Note: There have been some security bugs in the Java implementations of some browser versions, so you might not want to leave Java turned on all the time. In particular, versions of Netscape prior to 4.75 have security vulnerabilities.)
An alternative if you're on a Windows platform is the PuTTY application, an excellent SSH and telnet client by Simon Tatham. It also comes with pscp.exe, which allows you to copy files using the SSH protocol (which this applet doesn't let you do).
There are lots of other SSH implementations, and you can find pointers to some of them at www.ssh.org. Now that the RSAREF patent (on a particular encryption algorithm) is history, most of them are actually legal to use even in the US! :-)