The frameset is actually a better solution here, because it won't involve loading the applet on every page load. If users are bypassing it, it's probably for good reason.
Perhaps you should look at using a normal banner system instead of the Java dynamic thing. It would be less annoying to the users.
As for getting the applet working... you'd just need to use the full URLs to everything in the paramaters. For example, instead of "images/whatever.gif", it would need to be "/messageboard/images/whatever.gif", or whatever the real URLs would end up being.
Do the same for the URL to the .class file and/or the classpath. That should do the trick. But it's still a bad idea.