(This is my third attempt to answer this question...I always get timed out and loose what I wrote!!)
DrJim, you are correct with respect to (wrt) 1,2, and 4.
Alternatively, leave the name of each jar file unchanged and in its dist folder and make a generic BAT or EXE. Make sure your BAT or EXE file uses relative paths for the files related to your project. For the EXE in particular, make sure you DO NOT include the jar file into the EXE file (check the "Don't wrap the jar file, launch only" option in Launch4j).
wrt #4, As you pointed out, it suffices to have the JRE. Make sure the version is jre1.5.0_17 --some older versions may work, but this is the one bundled with Alice3.0, so it is probably wise to follow suit in this respect.
wrt #3, this is the big one.
It is well-known that you can make a Java program to run as both an Applet and as application. However, there are important restrictions for Applets due to the sandbox model they run in (there are mechanisms to deal with some of the restrictions, however)
My main concern is with the DLLs needed to run an Alice project. I have no experience with writing Applets that need DLLs...I have always tried to stick to the Java motto write-once-run-anywhere. There is another technical problem: what about Mac, UNIX and Linux users trying to see your page with an embedded Alice3 project in it?
Another alternative could be Java Web Start. It has fewer restriction than Applets and none of the compatibility issues that you may run into when the version of the VM in the browser is not appropriate for the applet you are trying to run....this may be worth exploring --where are graduate students when you need them?
wrt packaging EXE files. In the extreme you can try changing the encoding of the file, say UTF-7 or Base64, and change the extension of the file. This may trick the filtering program into thinking the file is a plain text file. Of course, you would have to reverse the process on the receiving end.