In window OS prior to Vista, the signed JNLP application will be grant AllPermissions if user click on "Yes" on security warning dialog box. In window Vista OS, Java webstart application will be treated as standalone application, therefore it has medium integrity level, and it won't be able to write/delete file from certain high integrity level directory and do other restrictive actions.
Jacob (###@###.###) is the writer for Java Web Start and will be resolving this bug.