We can't get rid of that box entirely - the applet can't do anything at all until it has been downloaded from the server! But when some of our applets start running, they have to fetch images and sounds, and we can do something better while that happens.
Our loading options let you choose your own background and text colors, and up to two lines of text to display while the applet reads its parameters and grabs any extra files it needs. With these options, you can cover the browser's default gray box with something more attractive at the first opportunity, and match the colors and text to your site's own color scheme and language.
Of course, not all our applets use images and sounds, and we don't add features to applets when they're not needed. The load options are built into the following applets:
Java Applet Load Options