Before using it, you need to have an up-to-date java, which you can download from here: http://java.sun.com/getjava/download.html

I recently gave a couple associates a webstart link to start a network monitoring application I'm working on, and since they were not familiar with Web Start, nor with one of the dialogs that came up, they were hesitant to run it.

So I decided to put this small page together explaining what it is, what you'll see (Windows screenshots as most people will be running it on Windows platforms), and what to do.

There is some verbage in the WebStart launch window, provided by Sun, that "scared both of my associates".  Here's a screenshot:

The lines:

and

scared both my friends, and IMHO, is too severe, or needs better explanation, so I'll comment on that here.

Most programs (applications), to be very useful, need to connect to the internet, save configuration or data files on your computer, etc., etc.

In WebStart lingo this is called "all permissions".  If you download or install any program (for example LimeWire, BearShare, WinZip, etc., etc.) that program automatically has these same permissions, but you aren't presented with any kind of warning like the dialog above.

The 2 most important questions to ask yourself in deciding if you want to install/run any program are:

1. Do I have good backups in the event that the program damages my system (intentionally or accidentally)?
   
   
2. Do I know and/or trust the provider of the program?
   

Running any program, including ones from corporate giants such as Microsoft or Apple Computer, always has risks that it may have a bug and crash and/or damage your system, which is why having your system and data backed up regularly is very important (running Mac OS X?, see TriBackup).

If you have good, regular backups, especially of your important data, you know you are safe in the event that a buggy program causes a problem and can therefore afford to take more chances.

Back to Java Web Start - Vendors may purchase a code-signing security certificate which will verify their identity, but it is fairly expensive ($200 plus about $200/year renewal) and a bit prohibitive for small developers. 

Having a certificate does not mean someone other than the developer has verified the code to be "safe", but does guarantee that the downloaded code was signed by the developer who wrote it, and that it has not been tampered with.

Even a signed application that needs access to your system and the internet (like most useful applications do) will generate a dialog similar to above with Web Start, but the "ominous warning" and I believe the recommendation about not running the program will disappear.

Even large universities like the University of Maryland that has the excellent PhotoMesa Image Browser available via webstart did not have a valid certificate last time I checked.

Summarizing, if you have good backups, and know and/or trust the provider of the program, whether it be Java WebStart or otherwise, it is safe to run it.