Just came across some special <param>
tags used by Sun's Java browser plug-in,
one of which enables a (configurable) progressbar shown while the applet is
still loading. Simply add this inside the <applet>
tag in the exported html
file:
<param name="progressbar" value="true" />
<param name="progresscolor" value="#000000" />
More info and various other options can be found on this page.
Again, this is only available for users with a recent Java plugin. The default Microsoft JVM used by IE will ignore these settings.