Grazie..
Però se faccio così mi esegue solo il runtime di java (Javaw.exe) e non il mio applet....


Correzione:

Private Declare Function ShellExecute Lib "shell32.dll" Alias "ShellExecuteA" (ByVal hWnd As Long, ByVal lpOperation As String, ByVal lpFile As String, ByVal lpParameters As String, ByVal lpDirectory As String, ByVal nShowCmd As Long) As Long

Public Sub ExecFile(ByVal fileName, Dir As String)
Dim ret As Long
ret = ShellExecute(0, "Open", fileName, vbNullString, Dir, SW_NORMAL)
If ret <= 32 Then
Err.Raise 51, "ExecFile", "Impossibile eseguire il file """ & fileName & """." & vbCrLf & "Codice di errore di ShellExecute: " & LTrim(CStr(ret)) + "."
End If
End Sub

E lo richiamiamo così:

ExecFile "Nome.jar", "Directory"

Grazie per la dritta!