You mean like a file open/save dialog? Have a look at the java.awt.FileDialog and javax.swing.JFileChooser classes. FileDialog looks more like a native dialog, but JFileChooser is more customizable.
Doing anything with files in an applet is going to require making the applet "trusted" and setting appropriate security properties... check out the Applet forum for more details.
-Nate
Write once, run anywhere, because there's nowhere to hide! - /. A.C.