Thanx alot everyone, your comments have been most helpful.
Judging from your answers it seems like both applets and jws will work so I might try both (I need to learn them anyway) but I started out trying applets. So far I get it to work pretty good by just open my JFrame in the applet init block. I had to change my ImageIO.read(new File("bild.jpg")) to new URL(getDocumentBase(), "bild.jpg") and that part seems to work. My problem now is to connect to a mysql server. I think the database is on the same computer as the server but I'm not sure, I use one.com as my webhost. When I try to call Class.forName("com.mysql.jdbc.Driver") I get a noClassDefException. I think I can get it to work though.