NB: All the source code must be compiled into the subdirectory "classes".
The startup protocol is very simple: the first player who starts a game will be player "X", and must wait for a second player "O" to start. (The demo interface is unsophisticated, and there is no special feedback to know if a player joins or leaves the game.)
If the applet does not start running above, there may be problems with the browser you are using. Instead try to start a client directly with appletviewer:
appletviewer http://www.iam.unibe.ch/~scg/Teaching/P2/P2Examples/Demo/TicTacToe.html
Note that, due to more stringent security requirements for applets and RMI in jdk 1.2, this demo will only run with jdk1.1.8 (or earlier).
If that does not work, it may be that the rmiregistry or the game server need to be started.