Hrm, most IDEs I've used know how to run Applets.
Anyway, see if you can get this to work for you:http://acme.com/java/software/Acme.MainFrame.html
The "correct" solution is to make your game be a java.awt.Panel then have two loaders, one for applets and the other for applications. For the applet loader you don't have to do much, just add the Panel to the applet. For the application you'll need to create a java.awt.Frame and set that up, then add the Panel.
I'm not familar with Visual Java. Most ppl around here like one or more of the following: Eclipse, NetBeans, IDEA. The first two are free and I'm pretty sure all have an understanding about applets.