Hi Bob,
As Fast said, don't worry about saving it if it's in the cache folders -- they're exactly what they sound like, just cached copies of applets to save loading time next time you use them.
Since an applet typically has quite a few individual audio and graphics files associated with it, your best bet is simply to open the Java Control Panel and empty the cache.
Having done that, worst-case scenerio is simply that it was a false positive and the applet will have to be loaded from scratch again next time. But that doesn't take forever, even on my dialup -- it's not like you have to replace any part of Java itself.
Best,
Mike