This is what is happening-
I went there and saved it myself and immediately opened it up without closing IE and here is your answer-
The file(s) required to run the puzzle, which are JAVA files, are entered into the Source of the HTML file as if you had these files on your drive also. If that didnt make any sense let me explain it a little better.
Let's say you have windows media player.
this is in-
c:\program files\windows media player\wmplayer.exe
Well, let's say that you had a song in there, in that same directory as wmplayer.exe called test.mp3
You could make a script that said-
c:\program files\windows media player\wmplayer.exe c:\program files\windows media player\test.mp3
or-
c:\program files\windows media player\wmplayer.exe test.mp3
This script would auto open windows media player and immediately start playing the test.mp3 file.
do you see the difference between the 2 possible lines of code that can both do the same thing?
The first one executes the media player then references test.mp3 in it's ENTIRE path just in case windows media player was ever moved to a different location, the code would stil work.
In the second example, it will open the media player and will immediately open the test.mp3 in the SAME directory as the media player. Since it has no directory listing in the source, it is meant to look for it in the same directory.
Well, this is basically what has happened in your case.
You have downloaded the HTM file but the link to the java CLASS file is listed as something like - \1\2\3\puzzle.class
This means wherever you saved youe HTM file, lets say for example- c:\puzzle\crossword.htm, it is looking for the java file in c:\puzzle\1\2\3\puzzle.class which you know does not exist, therefore, it will create an error.
The red x indicates what is suppose to load in that window Can't because the location to where it is pointing to does not exist.
This is not your fault nor theirs either, it's just a convenient way to code their webpages faster but less convenient if a user such as yourself wants to save the page and everything that goes with it or if they were to move their web page file somewhere else, they would have to recode all the links in it as well.