I just wrote a long message, pressed the wrong button and am writing this again in notepad...
So the second time only the essentials:
www.slax.org -> build slax, search java (jre1.6.0_18), add to build, build slax again, see the missing dependencies below, add at least Xorg, then download iso or tar, burn cd or prepare usb stick (with the batch file included), boot slax, download Planetmule for linux and play (if everything goes right).
Please tell us if you succeeded or not.