Setting file permission policies? Help!

I'm developing a module that generates reports of data from a database. This module gives the user the oportunity to either preview the generated report, save the report to the local file system or print directlly to a system printer.
The application is running through a J2EE web service, as an applet, and it's the save part I'm having trouble with. I'm using javax.swing.JFileChooser for easy locating the file in which to save the report, but there are missing FilePermissions. I'm guessing this has to be set on the client machine.
The exception I'm getting is as follows:
java.security.AccessControlException: access denied(java.util.PropertyPermission user.dir.read)
What I want, is for the applet to automatically configure itself to be able to access the filesystem. I do not want the user to go to the trouble of generating policy files for himself, the applet must run the same way on all client machines.
How can I do this?

This is not under my control. My module is only one in several which make up a client-server application designed for a large coorporation. The desition has been made to run the application under Internet Explorers rule and I have to design my module accordinglly.
Are there any ways around? To refrase the question slightlly... How can I use the JFileChooser through Internet Explorer?

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