Your Java applet could be improved. (hmm... I see you are using a
Datagram Socket...)
The latest Java API includes functionality for making non-proxied
connections (i.e. you can specify directly whether the applet's
connection out will be proxied or non-proxied; this setting overrides
any browser settings and any settings in the Java Control panel). What
is particularly interesting about this is that this behaviour is
intentional.
I discovered this back in January 2006 and wrote about it in a tech
report. I can give you a pointer to the tech report if you are
interested. I also have a demo which I will eventually post a URL for
here once I clean it up a bit.