Yes the MS virtual machine is just MS's version of Java. it's odd that the Sun Java client didn't work since their the ones who created Java unless that site tailored it's java applets to MS's in particular . (Incedently I've both the MS and Sun VM's installed and never had any trouble)
Also one of the latest security updates on windows update disables the MS Java client if you install it, it's in the fine print on the install. Sorry can't remember which one as I read about it somewhere else.
You can download a copy of MS's Java from the link below.
Also after installing go into internet explorers "tools" and then "internet options" click "advanced" and scroll down to where is says Java and untick the box next to the sun one and leave the MS one ticked.