Use an URL instead of File for any access that is not on your local computer.

URL url = new URL("http://www.puzzlers.org/pub/wordlists/pocket.txt");
Scanner s = new Scanner(url.openStream());

Actually, URL is even more generally useful, also for local access (use a file: URL), jar files, and about everything that one can retrieve somehow.

The way above interprets the file in your platforms default encoding. If you want to use the encoding indicated by the server instead, you have to use a URLConnection and parse it's content type, like indicated in the answers to this question.

About your Error, make sure your file compiles without any errors - you need to handle the exceptions. Click the red messages given by your IDE, it should show you a recommendation how to fix it. Do not start a program which does not compile (even if the IDE allows this).

Here with some sample exception-handling:

try {
   URL url = new URL("http://www.puzzlers.org/pub/wordlists/pocket.txt");
   Scanner s = new Scanner(url.openStream());
   // read from your scanner
}
catch(IOException ex) {
   // there was some connection problem, or the file did not exist on the server,
   // or your URL was not in the right format.
   // think about what to do now, and put it here.
   ex.printStackTrace(); // for now, simply output it.
}

Now that some time has passed since the original answer was accepted, there's a better approach:

String out = new Scanner(new URL("http://www.google.com").openStream(), "UTF-8").useDelimiter("\\A").next();

If you want a slightly fuller implementation, which is not a single line, do this:

public static String readStringFromURL(String requestURL) throws IOException
{
    try (Scanner scanner = new Scanner(new URL(requestURL).openStream(),
            StandardCharsets.UTF_8.toString()))
    {
        scanner.useDelimiter("\\A");
        return scanner.hasNext() ? scanner.next() : "";
    }
}

If you have apache IOUtils

    URL url = new URL("jar:file:/path/my.jar!/META-INF/file.txt");
    String myString = IOUtils.toString(url);