I don’t have a great answer for you, I pretty much encountered the same thing on my dev system here, though instead of actually figuring it out, I just kind of uninstalled/reinstalled, etc. until it more or less worked.
One thing that came to mind: take a look at how Window’s is set up to handle JNLP files. The easiest thing to do, I think, is look in the registry under: HKEY_CLASSES_ROOT\JNLPFile\Shell\Open\Command
Mine is going to javaws.exe in System32, so not very exciting… though if yours is pointing to a Java6 install dir, that would obviously be something.
Regards,