Applets are only allowed to connect to the server they were served from. If the database is on some other server, then the applet needs to be signed. See HowCanAnAppletReadFilesOnTheLocalFileSystem for more detail.
Look back in the forum archives about 2 weeks and I've covered this before. Including a rant why most applets have no business operating in 2-tier mode and opening their own JDBC connections.
The secret of how to be miserable is to constantly expect things are going to happen the way that they are "supposed" to happen.
You can have faith, which carries the understanding that you may be disappointed. Then there's being a willfully-blind idiot, which virtually guarantees it.