An update from the future (2025): Java Web start is a very obsolete technology. The "easiest" way to be able to play is to download the zip file from the Download page on SourceForge, unpack it (Winzip, 7z) and try to run the jar file inside.

Sometimes just double-clicking the jar file (or on Windows the run.bat file) works, otherwise you'd need to open a command prompt, use cd commands to go to that directory, and run either run.bat (Windows) or ./run (Linux).