PPS: Mac users may find that clicking on a demo saves the jnlp to their desktop. I found in safari that it does so without making it a jnlp file. In any case, once the jnlp file (with a .jnlp) is on the desktop, you should be able to doubleclick it to run. Any comments as to why this behavior exists are appreciated.
Safari works by saving files to disk, then telling the OS handler (i.e. the NeXT 'open' command) to open the file. This approach has several advantages, but has the one disadvantage that file extensions are important.
In any case, this can cause issues on certain versions of IE as well. My suggestion is to change your servlet or PHP page to have a JNLP extension. If you do it right, the servlet should still run fine, but the browser will see that ever-important JNLP extension.