If you need the mysql-connector it seems like your application is fairly complex, and that you should, at least consider, using java webstart. From the faq:
How does Java Web Start relate to Java Plug-in Technology (applets)?
The two approaches are very similar. The key difference is in the user experience. If the Java application/applet needs to interact with a web page and be tightly bound to a web browser, then applets may be the solution. On the other hand, if browser independence is important, then Java Web Start is the deployment platform of choice.
If you really want to do the progress bar, this page describes a solution, but it's not trivial by any mean.