Make sure you're running the signed applet in your HTML. Browsers have a habit of caching things, including applets, so the message might still be coming from a cached version of the unsigned applet. Clear your browser cache and so on.
And can I assume you are using a self-signed certificate and not one which you bought from a well-known certificate supplier? In that case you should be getting a message from the browser "Are you sure you want to run this?" when it tries to load your signed applet.
What are you doing? You are supposed to be reading this tiny ad!
the new thread boost feature brings a LOT of attention to your favorite threads