/tmp/foo
on a Solaris system (or to the file C:\tmpfoo
on a
Windows 95 or Windows NT system.)
Here's the source.
This applet is signed by Duke - if you've configured your system to allow applets signed by Duke to run, go and check your /tmp area! (Or your c: drive, if you're running on a PC.) You'll find a file there named foo, with an important message from Duke :-)