The Microsoft Java Virtual MachinePiSimounds is currently compiled with Microsoft Visual J++ 6.0. Due to a legal battle between Microsoft and Sun (the owner of the Java trademark) which Microsoft lost, Microsoft has been prevented from including their own Java Virtual Machine with newer versions of Windows (XP particularly). Unfortunately this means that any application compiled with Microsoft Visual J++ will not work on it's own for these newer versions of windows. Should you receive an error message along the lines of "Unable to start the application, the Java Virtual Machine cannot be loaded", then you need to install the Microsoft Java Virtual Machine in order to use PiSimSounds. Thankfully, as an owner of Visual Studio 6, Pi is licensed to distribute this virtual machine and so you can download it from here (6.28 MB).
Pi is currently working on migrating the application to a different language / different compiler so this major downside can be removed. However, as you only need one copy of the application, and only need to install the JVM once if you don't have it, this shouldn't be too much of a problem.