Using your web browser in your OS X environment, navigate to the place where the MII Workbench is located. In my case, the MII Workbench is located at the company's portal.
Once you click the required link, a dialog will open asking you to Open With.. or Save. Choose Open With.. here.
Next navigate to Macintosh HD > System > Library > Core Services > Java Web Start.
If Java Web Start is not an option, then you may need to download Java from the Java website.