The first time it tries to use a new class, another HTTP request is issued to retrieve it. The more classes, the greater the overhead and the longer everything takes. A JAR file uses the popular ZIP archive format to collect a group of Java class files and other information into a single compressed file. Instead of a series of HTTP transactions, everything can be retrieved in a single operation. Note that there is no requirement that all of an applet's classes be in the archive.
Applets can still request that additional classes be retrieved as they're needed.
But it does shorten the time to load and start a Java applet, reducing the number of HTTP requests and shrinking the file that needs to be retrieved. A Java archive contains a special manifest file which describes the rest of the files in the archive. These may include class files, serialized object information and digital signature information. Using a JAR file is simpler than creating one. The CODE attribute must still be present.