If you mean a file  on the local machine, you won't be able to consult
it from within an applet, which runs in a security-
protected "sandbox". If you mean a file on the server, you need to
set the codebase in the web  page, i.e.

<applet width="200" height="50" code="Applet.class"
codebase="."></applet>

and put the file in the same folder as the applet. Also, avoid J++
if you can help it!

Can't you use the Policy class  to grant specific kinds of
privileges to local file  systems?

If you download the applet  and then run it using the appletviewer
instead of in the browser, the Applet is allowed to read certain
files, which are marked on the access  control list. If you only use
the browser, the Applet will have to be signed by a party marked as
trusted before it is allowed to access any files.

See http://java.sun.com/sfaq/ for more on security.