If all you're doing is using the panel I believe you can do just an add on that panel, and not deal with the frame stuff.
That is instead of
do
But, I'm not completely sure. I never really wrote many java applets..
This is what I'm basing this idea off of:
http://java.sun.com/products/java-media/jmf/2.1.1/samples/samples/SimplePlayerApplet.java