Unfortunately no, you can distribute support files via eDirectory. You have to use another mechanism to get these files installed on your end-users machines.
One technique we have used is to embed the files into the applet itself, then have the applet recreate the files on the end users machine. This works well assuming the files aren’t too large. (which could cause your applet to bloat).
Take a look at the Utilities.FileToSource() and Utililies.SourceToFile() methods in the Language Guide. In a nutshell, Utilities.FileToSource() takes the path of an existing file and returns a string formatted in such a way you can embed it as a constant in your applet.
You then use tililies.SourceToFile() to convert the string constant value defined in your applet to create a file on disk at runtime.
I hope this information helps.