When I try to open a UDP socket from an applet, MS-IE 5.0 gives the exception "com.ms.security.
One of the security restrictions that most browsers place on applets is that they cannot make socket connections to any host other than the one which served up the applet. Both appletviewer and Netscape will allow you to listen for connections from any host, but they will throw a SecurityException if the connecting host is not the one where the applet originated. Internet Explorer, on the other hand, won't even allow an applet to listen for connections. This is exactly what you have observed.
The only way around this browser restriction is to digitally sign your applet and grant it permission to listen and accept socket connections.See also HOWTO: Make Your Java Code Trusted in Internet Explorer (Q193877).