Hello, Biswajyoti:
What
you should look into is signing your (j)applet, and using JNLP. You can see more tips on deploying here:
http://docs.oracle.com/javase/tutorial/deployment/applet/deployingApplet.html and this link
https://weblogs.java.net/blog/cayhorstmann/archive/2014/01/16/still-using-applets-sign-them-or-else talks about how to sign them. Note that the easy/cheap way is to make your own certificate, or self-sign. That, however, will still lead to the prompt. So if you really don't want to incur a click-through, you should have a certificate authority that is ultimately linked back to one of the certificates that comes with the JRE distribution (there are several, included in a keystore that comes with the JRE). This could cost you money, however.
I have been experimenting a lot with this stuff lately, but since it is for learning purposes, I cannot see generating a certificate signing request and sending it off to someone like RSA, who will charge money (I hear it is in the hundreds of dollars). I suppose that is by way of a disclaimer. I have, in the past, worked with an internal IT department to have them sign one for me, but then they also control what goes into the distributed keystore.
I hope that helps, or at least gets you started. Oracle appear, recently, to be tightening the clamps on this stuff. They seem very concerned about someone "repurposing" a well-meant application (distributed as an applet) into malware.
Regards