I'm trying to build mS-java compatible applet and I have references to classes in com.ms.*. But I can't find the required libraries.
They're part of the old Microsoft Java SDK, which is no longer available.
I think the only way to get your hands on the com.ms.* packages is by getting your hands on an old Microsoft J++ disc set. They don't sell those anymore, of course, but you can find some on ebay.
I would strongly recommend not using the J++ libraries, including com.ms.*. They're not supported, deprecated, and you won't find documentation online for them anymore. Also, there might be a questionable legality of using or selling software built with J++, given Microsoft's legal agreement with Sun to retire J++.