You can try this:

www.microsoft.com/.../details.aspx

you can connect to resources i.e. DB, but this is not advices and its not a good practice, try to choose as alternative

I think yes of course..Applet is a java code and you can connect to
SQL server  or wut i've tried is to connect to a program which
connect to the SQL server..which is easier I think .

i do not know really cause i did not try before
but i think there some security in running applets that can pervent connection with data base
but i am not sure
you can try and let us know the result

just be aware applets can only connect to servers which they are downloaded from
it means you should insteall your RDBMS server  (MS-SQL, Oracle, ....) on same server you have installed your Web Server.

Nothing logicaly prevents an Applet to use java.sql.* package.

applet can use java.sql.* package

but applet's can only connect to the server  they come from!
(if you have not defined another custom security policy)
may be the problem of that indian is trying to connect to a sql  server
running on another server.

yes, Certainly
with
Class.forName("sun.jdbc.odbc.JdbcOdbcDriver");
and set ODBC for your database then you could easily connect to it.
and if you wanna know more goto this url :
ttp://java.sun.com/j2se/1.3/docs/guide/jdbc/getstart/bridge.doc.html
and I attach a pdf for learn more.

I think your problem is about connecting to an SQL server  installed in a
machine other than the one applet  comes from (i.e. codebase machine).

This is from Applets Security FAQ [ http://java.sun.com/sfaq/ ]:

"How can an applet open a network connection to a computer on the
internet?

Applets are not allowed to open network connections to any computer,
except for the host that provided the .class files. This is either the
host where the html page came from, or the host specified in the codebase
parameter in the applet tag, with codebase taking precendence.

For example, if you try to do this from an applet that did not originate
from the machine foo.com, it will fail with a security exception:

Socket s = new Socket("foo.com", 25, true);"

there is nothing logically wrong about using Applets JDBC
ability, the above limitation would prevent it.

Solutions are as follows:

1. (Easy way) Install SQL Server on the machine Apple t comes from.
2. (Network way) NAT from codebase machine to the SQL Server Machine
3. (Java way) Overwrite Java's default security with grant files.

If you send the exception you encounter - when trying to connect - we can
help you more.