EJB containers don't speak HTTP. When you say HTTP, do you mean internet? Connecting to an EJB requires ports that most firewalls do not allow. (I don't remember which port numbers; its documented somewhere.) You should probably put a servlet between your applet and any EJBs in your app. The servlet can be programmed to pass the resulting objects in a serialized stream, as XML, or as clear text. This allows you to communicate entirely on port 80 and keeps your applet much thinner, because it will not have to load all that RMI stuff.
EJB containers don't speak HTTP