The new Java update is much more secure when running a self-signed application.
When shown this message
Go to the Windows Control Panel and open the Java Control Panel
Go to the Security tab and set it to Medium (possible on Java 7)
Close the browser and go to the website again
On Java 8 you need to add the address to the exception list and try to run again. If the applet doesn’t load you will have to use another browser or have the applet updated.