A nice introduction
http://www.cokeandcode.com/webstarthowto

In depth discussion
http://today.java.net/lpt/a/216
http://today.java.net/lpt/a/221

Some common problem: http://joust.kano.net/weblog/archive/2006/04/06/why-i-will-never-deploy-with-java-web-start-again/