I am unable to create a shortcut using JRE 6u12-b01 on XP, Vista and Solaris 11 with FF3 and IE7. The shortcut dialog does not appear and no shortcut gets created. To reproduce this, do the following:

1) Launch the following applet:
http://web-east.east.sun.com/www/tests/1.6.0_12/6740227/fileAssocNoSI.html
2) Press the "Alt" key and drag the applet out of the browser
3) Close the browser
4) Close the applet

Notice no dialog appears asking you if you would like to create a shortcut. Using JRE 6u10-33 a shortcut dialog does appear and I am able to create a shortcut.