Yes, with that site, there is no Java - the menus are done using JavaScript,
which is different. In fact, looking at the code on the page, the menus are
made using Xara's Menu Maker. Samples are here:
http://www.xara.com/products/menumaker/examples/default2.asp - click on a
sample image to bring up a new window with working sample menus.
If some users cannot navigate using those menus, then scripting may be
disabled via a Security setting, or IE's scripting engines may be damaged.
See this article to troubleshoot issues with scripting in IE:
How to Troubleshoot Script Errors in Internet Explorer
http://support.microsoft.com/default.aspx?scid=kb;en-us;308260
These issues are most commonly fixed by reinstalling the scripting engines
via the links provided in the article.
As for your other question, both Java VMs are fine. Due to issues with Sun,
Microsoft is not developing it's Java VM anymore, save for patches due to
security issues. However, a lot of sites display/work better with MS's VM
due to it's having been installed on a vast majority of computers over the
years. You can use both side-by-side, switching between the two:
http://www.java.com/en/download/help/5000020100.xml