Java SE (Java Platform, Standard Edition)

I have noticed that a javascript alert window is displayed whenever an Applet is initially launched using IE7.
This does not happen using IE8 (or FF, SF, Chrome, etc).

I thought it was our implementation, but the alert is also shown launching any Applet from the following;
http://java.sun.com/applets/jdk/

There are typically 2 alerts and after pressing OK, the Applets appear to run successfully.

The specific error is;
Alert title: Microsoft JScript compilation error.
Alert content: Expected ')' in regular expression.

I don't always remember this error using IE7.
Maybe it's related to the JRE?
I am currently using: (build 1.6.0_26-b03)

Any solution out there?