Actually setting a menu bar on a regular applet is a little more difficult. Only Frames in the AWT allow MenuBars. So, I'm not sure how to go about adding a menu bar to your applet.
If you wanted, you could have your applet open a Frame that then uses a MenuBar. Or, you if you don't want to open a new Frame, you might have to try and create your own custome MenuBar. Or, their might be a way to add a frame as a component of a panel. Or, you could use a JApplet (I know you stated you wanted to use just Applet, but it would be the easiest solution that i can think of).