Applets do not have a main function. Instead they have an init. They close when the web page that contains them closes. The containing web page is written in HTML. The applet itself runs on the client machine. There are some security restrictions like an applet cannot run a program, read a file, or write a file. You should test your applets on many browsers including multiple versions of the same browser.
The older class for applets is Applet. Go figure. You cannot use Swing with this old style class. You also cannot do icons or menus. Use buttons instead. I found that I could load an HTML page which referenced an applet. However when I recoded and recompiled the applet, an Internet Explorer 6 refresh would not run the new version of the applet. That was annoying. Instead I decided to use appletviewer. Here is another strange thing. The reload function in appletviewer causes the window to disappear and the viewer to freeze. Another funny thing was that I tried to use Graphics2D in my paint method. It compiled but just output a light blue screen. All my graphics were gone. I guess I can make do with the normal Graphics class.