Step 1: Run MS Visual Studio (Boo Hiss!)
Step 2: Set up a new (empty) project.
Step 3: Go to debug settings, set exe to be your IE, and program arguments to point to the path of a simple HTML page with an applet on (I only deal with applets but you could do this with Java itself just as easily)
Step 4: Run a debugger session, and stop the debugger somewhere.
IF you are in an area called something like WIN32, or NT40.DLL or something, then you are in a system call.
If you are in or then you are probably in the compiled code.
SOMETIMES you can tell more easily, as the compiled code will reside in memory with an address much greater than 0x40000000 (the default base address space for code loaded from an exe file).
It is then possible to track down specific parts of code by adding operations to add set constants to a static volatile variable, and then search the disassembly for the constants. Not saying its easy tho, but it can work if your desperate 
- Dom