Can I load .dll from server to client within applet, and then call methods of loaded .dll (using JNI) on client side?
Certainly. The applet will need to be digitally signed by the developer, and trusted by the end user (they click 'OK' when prompted). Put the natives in the root of a Jar and add it to the run-time class-path of the applet, using a reference in the archive attribute.
Using the traditional method of deploying natives to an applet using the archive attribute has the disadvantage that every client gets the natives for Windows, OS X and *nix. 3 times as many natives as they actually need.
A recent (Java Plug-In 2, introduced in Sun's version 1.6.0_10) ability is to launch embedded applets using Java Web Start, which then allows us to partition the download of natives for the user. Each OS will get only the natives it needs.
..how to declare applet class-path?
It is specified in the resources section.
E.G. from docs.
<resources os="SunOS" arch="sparc">
<nativelib href="lib/solaris/corelibs.jar"/>
</resources>
Any resources section with no os or arch attribute will be downloaded by all JWS clients, the rest only by those that match.