download & unzip the JavaFX samples from the Oracle site ( http://download.oracle.com/otn-pub/java/javafx/2.1.0-b21/javafx_samples-2_1_0-windows.zip )

open BrickBreaker.jnlp. Now an error comes up saying:
C:\Users\Anthony\javafx-windows-i586__Vlatest.exe is not a valid Win32 application.

The problem, I believe, is the following:
BrickBreaker.jnlp refers to http://javadl.sun.com/webapps/download/GetFile/javafx-latest/windows-i586/javafx2.jnlp
which in turn refers to http://javadl.sun.com/webapps/download/GetFile/javafx-latest/windows-i586/JavaFXRuntimeInstaller.jar
this jar contains a class JavaFXRuntimeInstaller, which contains the download locations for the JavaFX installers:

private static final String DEFAULT_I586_URL = "http://download.oracle.com/otn-pub/java/javafx/javafx-windows-i586__Vlatest.exe";
private static final String DEFAULT_X64_URL = "http://download.oracle.com/otn-pub/java/javafx/javafx-windows-x64__Vlatest.exe";

using the first URL to continue my explanation:
http://download.oracle.com/otn-pub/java/javafx/javafx-windows-i586__Vlatest.exe
redirects with http code 302 to: https://edelivery.oracle.com/otn-pub/java/javafx/javafx-windows-i586__Vlatest.exe
which in turn redirects with http code 302 to: http://download.oracle.com/otn-pub/java/javafx/javafx-windows-i586__Vlatest.exe?AuthParam=1335709310_1e63393a9975cbe57e4ae096c1380b6b

so JavaFXRuntimeInstaller basically downloads the file at DEFAULT_I586_URL to a local file & executes the local file, but:
by default redirects are followed, unless it goes from http to https or vice versa (see http://stackoverflow.com/questions/1884230/java-doesnt-follow-redirect-in-urlconnection), so JavaFXRuntimeInstaller simply downloads the contents of http://download.oracle.com/otn-pub/java/javafx/javafx-windows-i586__Vlatest.exe
(i.e. nothing) & then executes the empty downloaded file. This results in the error above saying the file is not a valid Win32 application.

So the fix should be as simple as eliminating the redirect to a https URL in the scenario above.