I've tried doing that and it seems to work - though my security permissions don't seem to be coming through.
The only problem is that it doesn't automatically start web start (using Windows XP) and I have to map the .jsp file to start javaws - it's not a huge deal, but is a bit of a pain in the butt - especially for non-techies.
You'll need to change the mime type of your script so that JWS knows it's a file it should handle.
This can be done pretty easily by modifying the headers in your jsp file to say that it's an jnlp file .. I don't have the jsp code for this, but here's the php code - and it should be pretty similar:
<a href="http://www.amazon.com/exec/obidos/ASIN/0201310058/radikal" target="_blank" rel="nofollow">Effective Java Programming Language Guide</a> - probably the best book ever written for intermediate to advanced java programmers!