With this 64-bit Windows 7, when I go to Start -> Settings -> Control Panel -> Java, then click at General tab, "View" button, no cached applications are seen, but I've just downloaded and run a jnlp file just a minute ago.
There is something wrong in here.
So, I googled it, and found the solution that I wish to share with you.
1. Run the cmd window from C:\Windows\SysWOW64
2. Download and run again the jnlp with the command: javaws <url of the jnlp file>
3. Type the command: javaws -viewer
Now the cached application loaded from the jnlp file is displayed correctly in this Java Cache Viewer window and you are able to add a shortcut to it from your desktop. Just right click the cached application and select "Install Shortcuts" from the context menu.
That's it!