Unsigned Applets have a number of restrictions applied to them. One of the restrictions is that they can't open network connections to hosts other than the one hosting the applet.
There are a few ways around this:
- Sign the applet. The obvious problem with this is that you need an application signing certificate.
- Host the DB server on the same machine as the applet.
- Write a WebStart application instead (although it probably has the same problem).