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A JVM is a Java Virtual Machine -- the software that makes it possible for your browser to work with java. Judging from the error message you reported, AOL Easy Designer uses a java based interface. However, your browser can do most of its job without even needing java support, so you might not miss your JVM or notice that it's out of date for a long time.
Java was developed by Sun Microsystems in the early 1990's, and more recently Microsoft had some legal struggles with Sun over it. For a while MS was distributing their own "flavor" of this software, called the Microsoft Virtual Machine,awhich was written to give Explorer a way to execute java instructions without using Sun's JVM.
Get's complicated, doesn't it? Anyway, now there is a legal agreement betweeen the two cpmanies, and Microsoft will soon (2004) abandon support for the Microsoft Virtual Machine.
Microsoft Reference [microsoft.com]
Where you stand in the middle of this mess depends on when your computer's software was installed. But wherever you stand, you can download the latest JVM from Sun, from this page:
[java.sun.com...]