Those classes are common extension points for Java UI designs. First off, realize that they don't necessarily have much to do with each other directly, so trying to find a relationship between them might be counterproductive.
JApplet - A base class that let's you write code that will run within the context of a browser, like for an interactive web page. This is cool and all but it brings limitations which is the price for it playing nice in the real world. Normally JApplet is used when you want to have your own UI in a web page. I've always wondered why people don't take advantage of applets to store state for a session so no database or cookies are needed.
JComponent - A base class for objects which intend to interact with Swing.
JFrame - Used to represent the stuff a window should have. This includes borders (resizeable y/n?), titlebar (App name or other message), controls (minimize/maximize allowed?), and event handlers for various system events like 'window close' (permit app to exit yet?).
JPanel - Generic class used to gather other elements together. This is more important with working with the visual layout or one of the provided layout managers e.g. gridbaglayout, etc. For example, you have a textbox that is bigger then the area you have reserved. Put the textbox in a scrolling pane and put that pane into a JPanel. Then when you place the JPanel, it will be more manageable in terms of layout.