The WoL client is built on top of Java Web Start, which is included in every standard Java distribution. If you cannot open the JNLP launcher file for the client, this usually means one of two things: 1) your file associations are not set up correctly (i.e. Windows doesn't know it should open .jnlp with JavaWS); or 2) your Java install is corrupt.
The most reliable way of fixing this issue is to 1) de-install Java; 2) reboot your computer; and 3) re-install Java. It seems I posted the wrong link before, though, as that was only the Chrome Java plug-in, not the full JRE installer. Please use one of the full Java installers found at http://www.java.com/en/download/manual.jsp
to re-install Java.
If, after re-installing, Windows still doesn't know how to open a JNLP file, it should show you an "Open with..." screen. Browse to "C:\Program Files (x86)\Java\jre6\bin" (or simply "Program Files" if you don't see an (x86) version) and open with "javaws.exe".
Java RE 6u18 (Windows / online install): http://javadl.sun.com/webapps/download/ ... leId=37990