After initial installation, when running an applet, if it requires additional components, it goes for an appropriate download.
However, cancelling it throws an exception.

Steps.
1. Launch IE(Internet Explorer) after Initial installation. Open Java Console.
2. Launch an applet which requires more( I got his issue on http://java.com)
3. It starts downloading addditional components.
4. Cancel the operation with the Cancel button.
5. Watch the Java Console for the exception.

(Since, I didn't download the components, I couldn't copy the Exception stack trace, so I have an image attached)

Also, restarting IE and running the same, it downloads the components again and completes the installation if not interrupted.
So this exception was only in case we cancel.