As has been mentioned here for JRE6 and JRE5, I will update for JRE1.4:
You will need to run the jpicpl32.exe application in the jre/bin directory of your java installation (e.g. c:\java\jdk1.4.2_07\jre\bin\jpicpl32.exe).
This is an earlier version of the application mentioned in Daniel Cassidy's post.