Java Virtual Machine - WTF

[Mr. Monday Morning]

K so whenever I try to run a java applet or surf a site that has one on I always get prompted to download the Microsoft JVM...if I click yes it does this tiny download then redirects the browser to the Microsoft site saying sorry you don't have the JVM installed (or near enough) and doesn't run the applet.

Except, I have got java installed on this machine, I have to use it for my degree and can compile and run programs from the command prompt etc. So why the hell can't I view the applets? (I've got the settings in IE set to allow java scripts etc as well)