New to Java

Hello, I am curious about Java's HttpURLConnection function and it's ability to retrieve data from other domains. Currently the Flash player & Javascript are tied to a crossdomain sandbox. I wanted to retrieve data such as feeds where the host does not have a crossdomain policy file setup. Is this possible, and are there any limitations?

I was googling and heard about the signing of applets ? how easy is this to do, and is this separate to using HttpURLConnection? Will a security warning pop-up when a user fetches http data?

I noticed that jdk6 has crossdomain functionality, but this isn't quite what I want (as I cant rely on all sources to have a crossdomain set up)
https://jdk6.dev.java.net/plugin2/#CROSSDOMAINXML

Many thanks for your time :)