I've had a lot of trouble with the Java resource loader recently, and I don't know why either. Maybe aliens invaded my Java VM.
Basically what I did in the end for my recent game (for LD13) was I hosted the resources on my website, then when the thing was first started I downloaded them all to a local folder for future access. This can be done pretty easily with URL's, and if you're resources are zipped you can actually make it faster for user, not to mention give them a pretty splash screen or better looking loading bar (rather than the built in applet or JWS ones).
The problem? It's a pain in the butt, and means more programming on your end. Plus, you need either a signed applet or JWS, and you also need to be on a system where the user had correct admin-y type access to the local resources.
But it's a workaround.