First be absolutely certain that you have Java installed on your machine.  In most instances the problem is caused by Java not being installed.  You can install java from http://java.com.  See this FAQ entry for more information on installing Java.

If you’re certain you have Java installed then the problem is most likely the file association.  The Desktop App uses Java Web Start to launch from links on the My Docs Online websites or from the desktop shortcut, using a “.jnlp” file. Some Windows 7 systems have the file association for .jnlp wrong, specifying that Windows should use Internet Explorer or another program when opening .jnlp files.

To correct this:

• Click the start button, then Default Programs
• Select Associate a file type or protocol with a program
• Find “.jnlp” and Change the associated program
• If Java(TM) Web Start Launcher is not listed then browse to the Java directory containing javaws.exe and select it.   If you have more than one copy select the most recent copy.
• Confirm with “Always use this program”

Try the link again.