What you see above is an applet using an animated gif as it's loading screen. (the image came from this site) The image specified with the image will be shown until the applet's init() and start() methods finish. This applet will sleep for 5 seconds in the init() method to demonstrate the effect.
You could also use a gif more indicative of loading such as this one from here
You can use both animated and non-animated gifs. Additionally, this applet uses the boxmessage parameter to put the "loading..." text over the image. It also sets the boxborder attribute to false to turn off the border.
If you do not specify an image the default Java coffee cup logo will be used instead.
For more on the applet loading screen see the special attributes section of the deployment documentation and the notes on the new Java plugin.