Remember the story about the woman who gave her miniature dog a bath, then put it in the microwave to dry it? Well, the dog exploded! These stories are called Urban Legends.
Everybody hears them, but nobody seems to know exactly where, when, or to whom they happened. In most cases they're just not true. Click this link & see a great site on this subject.
Note: Playing any Java games will load information to your computer's 'Temporary Internet Files' so you can play the game. This is normal & is easily taken care of by performing a routine 'Disk Cleanup'.