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If you are using Windows and Java 7 Update 21, there is a known issue which has a patch available search My Oracle Support for Document "Windows Clients Connecting to Secure Global Desktop are Redirected to Loading Page, then Prompted to Download Client after Updating Java Plugin [ID 1546161.1]"
If your not using the above JRE/OS combination, you will need to open an SR via MOS to triage the issue with SGD Support. The Administrator Guide also includes some common java related issues.