Are the textures/models part of the JAR? If so, you may have to use the "InputStream"-methods/contructors to access them. Or, if they aren't part of the JAR, the methods/contructors with "URL" are what you need. Either that or try adjusting the applet-params like setting codebase="." or something.
Edit: Another thing that may fool you: Windows in not case-sensitive, so loading "HuRz.Jpg" will work even if the file is named "hurz.jpg" on the HD. On a webserver, this won't work though. Just a thought...
Edit2: OT: A new version (0.87) is out which major improvement is a much more accurate lookAt()-method. If you're using (or plan to use) this method, you should get the update.