You're right Dark Guardian and Morpheus, it is related to Java functionality. Worse case scenario some java applets won't run. If that's the case, the file can be restored easily enough.

From Mcafee's site:

In the event that JDBGMGR.EXE was deleted erroneously, the following method may be used to restore the file from backup:

-- Windows 98 Instructions --

Information on using the System File Checker to restore files

1) Click START - RUN, type SFC and hit ENTER
2) In the "Specify the system file you would like to restore" field, type C:\WINDOWS\SYSTEM\JDBGMGR.EXE and hit ENTER
3) In the RESTORE FROM field, type in the path to your WINDOWS CAB files
(ie. C:\WINDOWS\OPTIONS\CABS)
(ie. D:\WIN98 where D is the drive letter assigned to your CD-ROM)
4) Click OK and continue with the restore function

-- End Windows 98 Instructions --

-- Windows ME Instructions --

Information on using the System File Checker to restore files

1) Click START - RUN, type MSCONFIG and hit ENTER
2) Click the Extract Files button
3) In the "Specify the system file you would like to restore" field, type C:\WINDOWS\SYSTEM\JDBGMGR.EXE and hit ENTER
4) In the RESTORE FROM field, type in the path to your WINDOWS CAB files
(ie. C:\WINDOWS\OPTIONS\INSTALL)
5) Click OK and continue with the restore function

-- End Windows ME Instructions --

-- Windows XP Instructions --

Information on using the System File Checker to restore files

1) Click START - RUN, type MSCONFIG and hit ENTER
2) Click the Expand File... button
3) In the "File to restore" field, type %WinDir%\SYSTEM32\JDBGMGR.EXE and hit ENTER
4) In the RESTORE FROM field, type in the path to your WINDOWS CAB files. This may vary from machine to machine. It may be on a local drive, network drive, or CD-ROM
(ie. C:\WINDOWS\OPTIONS\INSTALL)
5) In the Save File in field, type in %WinDir%\SYSTEM32.
6) Click OK and continue with the restore function

-- End Windows ME Instructions

Or, you can just click here and download the latest virutal machine from Microsoft..that will solve it as well.

TC