If you use Sun Java and it is set to autoupdate then it doesnt concern you.
But if youre like me - uninstalling old one and installing newer version manually from downloadable installers - you might encounter same problem.

Once previous version of Java is uninstalled, your current Java is being set back to "default" by uninstaller. You can check it in Add/Remove Programs - Set Program Access and Defaults. But: there is no more of Microsoft's "default" version of Java on your system (that is if you keep it updated ofcourse - WinXP with SP1, Win2000 with SP4) since Msoft was forced to give up forging Sun's Java some time ago. Hence your "default" Java is none.
Installing newer version of Sun's Java (1.4.2_03b2) doesn't change it automatically. You would still have your system's java set to "default" in both Set Program Access and Defaults, and in Java's own Plug-in Control Panel as well:



You need to manually change it in Java Plug-in Control Panel to use itself as default:




IMHO its a bug in Java installer, it happened on 3 of my machines (Win2KSP4 all of them). However if you keep your Java plug-in set to autoupdate once it downloads its newer version it will change your system's default java to the newer version (true on other Win@KSP4 machine).

And the reason why not to keep Sun's Java on autoupdate is because it never removes previous versions of itself once updated, accumulating junk on your system (50-100MB each). I had 3 different versions of Sun's Java once, thats why I prefer to uninstall it before I install newer version.