See also https://forum.processing.org/topic/blank-window-on-export and https://forum.processing.org/topic/applet-application-and-html-file recent threads.
And why aren't you using the generated HTML as well?

You just copy/paste the relevant code into your page. No need for the HTML code around. The <applet> tag might work, but also it might have some compatibility issue with some browsers.
Beside, have you read the threads I pointed to? If you load files and generate the applet from Windows, version 1.45 of Processing had a bug: http://code.google.com/p/processing/issues/detail?id=666
And if you plan to export PDF, you will have security issues. Again, watch your Java console.

Yes, as phi.lho said, export the applet and copy the code into your HTML page. Don't forget to include the JavaScript library call for deploying the applet (deployJava.js). And don't forget to adapt the paths to where your .jar files reside.