Thats actually a Java Bug or something like that.
The Java Applet attempts to read the proxy settings from the browser - this doesnt work properly in Firefox (pretty much any Gecko tbe) because it does not use the Windows-Default settings. However, This also occurs on Linux if I'm not mistaken.
To fix this, run javacpl.jar in <your Java path>\bin, and Change the Network Settings to "Direct Connection", or whatever applies for you. The setting "Use Browser Settings" is the culprit in that case.