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Internet Explorer usually requires that you deal with at least four different dialogs
to get Web Start working properly (if it doesn't start automatically). If you see the following popup box:

Make sure that you uncheck the "Always
ask before opening..." checkbox, and then click on the 'Open'
button. After you do that, you should see this:
If you don't see an entry for "Java Web Start Application"
(or something similar), then you're going to need to click on
the 'Other' button, which should popup a window that looks like
this:
Make sure to navigate all the way into the "Java/jre1.x.x_xx/bin"
directory, and then choose the "javaws" file.
At this point you can click on the 'Open' button
(which will close this window), leaving you back at the "Open
With" popup:

Make sure that the "Always use this program..."
checkbox is checked before clicking on the 'OK'
button. Once you've done that, you'll be back at this popup:
All you have to do now is to make sure that the
"Always ask before opening..." checkbox is unchecked.
Now, click on the 'Open' button, and everything should be fine.
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