Angus is right. You can't make a "Cocoa Applet" since that would defeat the purpose (it would make an OS X only Java Applet).
Are you sure you don't just mean that you are trying to write an Applet using Project Builder?
Every Applet is written to be an extension of the Applet class (if I can remember my former applet-tinkering days correctly) and is written purely to interact with the virtual machine.
Unfortunately, I don't know enough about the applet class to help you out. However, Sun's java reference would probably be a better source of answers than a this board since it is mainly cocoa and carbon development. You could find lots of Java language related information here but not Java API reference, really.
Hope that helps,
Jeff.