With JDK 1.6 and Vista it works fine.
Do you click with the mouse in the applet? After that I can use the keyboard.
No it doesn't work at all, I tried several times. Please, before assuming that your game works, make some tries under some different operating systems. My own game is frequently tested under Macintosh OS X, Unix (Solaris), Linux (Mandriva Linux 2007, Mandriva Linux 2006, Debian Sarge, Gentoo, Fedora Core, Ubuntu...), Microsoft Windows (NT 2000, XP, Vista). It works fine under all these systems except Vista. As your game works inside an applet, your aim seems to be to make something cross-platform for everyone, not only for Vista users. It works fine under Vista but it doesn't mean it should work fine on other OS as Vista is still unstable. That is why you must often perform tests. Good luck. I will test your game as often as possible, hoping it will finally work here too.
P.S : requestFocus might not work in some very rare cases. I use an other solution which is more complicated, I use a java.awt.Robot but it might cause some problems in an unsigned applet.