What is your system?
Have you checked rights in the implied directory?

I am a bit confused about the message you report (particularly in a browser).

But well, yes, you are hitting the good old Java security issue, a very common problem.

Applets in Web browser are much more limited than exe files, for security reasons (you have to start an exe yourself while an applet can start automatically and even hidden, as soon as you visit a page).
So if your applet is not signed, you cannot access files on the user's system, you cannot access a Web site other than the one providing the applet, you cannot access a database, read clipboard, capture video, and so on.
Beside, direct database access from an applet is a bad idea, as it is easy to find out authentication data: the usual way is to go through a server side program to do this job.