That message is telling you that the page is trying to run a Java applet (that's what the Java plug-in does).
If you want to run a Java applet, you'll have to use an obsolete (or minor brand) browser, which obviously one doesn't recommend.
Chrome and Firefox have both dropped support for the Java plug-in (and support for NPAPI plugins in general, although they've whitelisted Flash for a little while), and Edge never had it. Reasons for this vary depending on who you ask and when you ask them, but essentially A) The Java plug-in had a long history of security issues, B) Supporting the underlying NPAPI is a non-trivial technical debt that browser vendors no longer want to carry, C) Now that the web has matured a great deal, with native video, animation, etc., the need for NPAPI-style plugins is greatly reduced.
A signed Java applet will run in IE11 if you tell your Java installation to allow it (on the Java configuration applet's Security tab). I have no idea whether an unsigned one will. I hope not.
Otherwise, you can't run the Java applet. Because this is the 21st century. :-)