Make sure you've got Java installed. You'll need Java 6, the current release. Occasionally the automatic updates can leave things wonky, reinstalling the latest version of the JRE from the Java web site usually fixes that. If you're using 64-bit Win7, be sure to install the 32-bit version of Java first and then the 64-bit version.
Then, instead of keeping the file, allow the Java Web Start launcher to open the file. Saving the JLNP file doesn't quite work as expected, it needs to be opened within the browser.
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