What's the problem? You need to unzip the amsn-*.tar.gz file that you download with:
$ tar xzvf ./amsn-*.tar.gz
Then change into that directory:
$ cd amsn
and then run amsn:
If you want, you can move the amsn directory to somewhere such as /usr/local, then link to it in /usr/local/bin:
# mv ./amsn /usr/local
# ln -s /usr/local/amsn/amsn /usr/local/bin/amsn
That way, from anywhere you can type
and it'll work.
Bear in mind that you'll need tcl/tk for it to work.
As for the java applets, can you give some more information? I assume you've installed java, what error messages do you get?