If you need a mysql connector, it looks like your application is quite complicated, and you should at least consider using java webstart. From faq:
How does Java Web Start relate to Java Plug-in technology (applets)?
Both approaches are very similar. The main difference is the user experience. If a Java application / applet needs to interact with a web page and be closely tied to a web browser, then applets can be a solution. On the other hand, if browser independence is important, then Java Web Start is the preferred deployment platform.
If you really want to make a progress bar, this page describes the solution , but it is not a trivial average.