Thank you for your post.
Control-click the admin_console_init_webstart.jnlp file, and make sure it is set to open with:
/System/Library/CoreServices/Java Web Start
We had a couple of reports of users who were running Anti-Virus software. Once they uninstalled the software, the Admin Console would load.
Was this a newly installed Snow Leopard machine, or was it updated from a previous version? If the latter, try re-installing Snow Leopard from the master disc.
Please keep me updated with any progress.