The following behavior is reproducible on jre 1.6.0_06:

1. Property "deployment.cache.enabled"
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Look at the "deployment.properties" file in
C:\Documents and Settings\Administrator\Application Data\Sun\Java\Deployment

The property "deployment.cache.enabled" is not set:

C:> findstr cache deployment.properties
deployment.javaws.splash.index=C\:\\Documents and Settings\\Administrator\\Appli
cation Data\\Sun\\Java\\Deployment\\cache\\6.0\\splash\\splash.xml
deployment.javaws.splash.cache=C\:\\Documents and Settings\\Administrator\\Appli
cation Data\\Sun\\Java\\Deployment\\javaws\\cache\\splashes\\splash.xml

2. Uncheck "Keep temporary files on my computer"
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Open Windows Control Panel -> Java Control Panel -> General -> Settings
and uncheck checkbox "Keep temporary files on my computer".
Press OK and close the "Settings" dialog and press OK to close the
Java Control Panel.

3. Property "deployment.cache.enabled=false"
--------------------------------------------
Now look at the "deployment.properties" file in
C:\Documents and Settings\Administrator\Application Data\Sun\Java\Deployment

 The property "deployment.cache.enabled" is set to value "false":

C:> findstr cache deployment.properties
deployment.cache.enabled=false
deployment.javaws.splash.index=C\:\\Documents and Settings\\Administrator\\Appli
cation Data\\Sun\\Java\\Deployment\\cache\\6.0\\splash\\splash.xml
deployment.javaws.splash.cache=C\:\\Documents and Settings\\Administrator\\Appli
cation Data\\Sun\\Java\\Deployment\\javaws\\cache\\splashes\\splash.xml

4. Reopen Java Control Panel -> Settings dialog
-----------------------------------------------
 The checkbox "Keep temporary files on my computer" is now checked again, which
 does not reflect the state of the property.

5. Workaround
-------------
 Unchecking and rechecking "Keep temporary files on my computer" does help.
 The property is removed from the "deployment.properties" file after the
 Java Control Panel is closed.

C:> findstr cache deployment.properties
deployment.javaws.splash.index=C\:\\Documents and Settings\\Administrator\\Appli
cation Data\\Sun\\Java\\Deployment\\cache\\6.0\\splash\\splash.xml
deployment.javaws.splash.cache=C\:\\Documents and Settings\\Administrator\\Appli
cation Data\\Sun\\Java\\Deployment\\javaws\\cache\\splashes\\splash.xml