I am trying to get an applet working that makes a URL Connection. I have run into quite a few problems. Here is some ways of solving them.
A nice guide from Sun: http://java.sun.com/docs/books/tutorial/security/toolsign/index.html
Signing Applet Jar
http://yellowcat1.free.fr/keytool_iui.html
A very nice GUI tool; saved me a lot of time.
http://www.codeguru.com/forum/showthread.php?t=40310
Sounds like your having the classics Applet security issue. Applets are restricted in what they can do.
Here are two choices:
1) Rewrite the applet to be an application - no security issues.
2) Change the HTML to use the java plugin and then give the applet permissions using the policytool. Your applet needs resolve Action for SocketPermission.
Applets may not access any aspect of the local filesystem other than the jar they came from, nor may they access the java native interface, nor may they access any internet site other than the one they were obtained from. rewrite your applet to fit within these guidelines.
if you cannot, you may try a google seach for "grant permission applet"
not the recommended course of action though, trust me