Applets will run inside your browser. These are unsigned applets which means they do not have permission to read or write to your hard drive. The applet will be downloaded as a temporary file to your computer and is controller by Java. If you delete your Java tempory files from the Java control panel they will be removed from your system.
Webstart will run jDosbox with full privileges which is why it will ask you to accept my self signed certificate. Once jDosbox is started it will download the disk image to your home directory. For the DSL demo on Windows it will download the CD iso to c:\users\(your name)\.jdosbox\dsl.iso. You may delete this file and the entire .jdosbox folder at any time. If you run the demo again it will simply re-download it. These demos needed more privileges for performances reasons, they needed more memory and they need to capture the mouse. IMPORTANT to release the mouse once you click inside a webstart demo you may double right click or alt-tab out of the window.