The applet is about 200K in size; be patient on the downloading if you have a slow link. Should the terminal window not start after the applet has loaded, you need to enable Java in your browser or get a new browser.
For a full-featured connection integrated into your environment and including file transfer, install on your machine a Secure Shell software such as SSH for Workstations from http://www.ssh.com. Follow the site to online store, a non-commercial license is free.