Seems to work just fine on my system. I am running Sun JRE 6 on Gentoo on a Dell Inspiron Mini 10v.
Are you using the "Linux / Generic JAR-only version (no installer included)" version? If not, try downloading that and using it from the command line:
$ unzip VUE_3_0.zip
$ java -jar VUE.jar
If this doesn't change anything, at least you can look at the output on the terminal and see if any helpful error messages pop up.
If this doesn't help, I suppose it is possible that your Java VM is not installed correctly, or maybe there is something wrong with your configuration (maybe you think you are using Sun JRE 6 but you are actually using some other version). These are only wild guesses.