a me questo funziona (l'ho provato sia con appletviewer che da browser):
codice:
import java.awt.*;
import java.awt.event.*;
import javax.swing.*;

/**
 *
 * @author Andrea
 */
public class AppletKeyboard extends JApplet {
    
    private JLabel label; 
    
    private class MyKeyListener extends KeyAdapter {
        public void keyPressed (KeyEvent ke) {
            switch (ke.getKeyCode()) {                
                case KeyEvent.VK_R :
                    label.setBackground(Color.red);
                    break;
                case KeyEvent.VK_Y :
                    label.setBackground(Color.yellow);
                    break;
                case KeyEvent.VK_G :
                    label.setBackground(Color.green);
                    break;
            }                        
        }
    }
    
    public void init() {
        label = new JLabel("Change My Color R,Y,G");
        label.setOpaque(true);
        this.getContentPane().add(label);
        this.addKeyListener(new MyKeyListener());
        this.setFocusable(true);        
    }    
    
}