Applets (J or otherwise) require some sort of context
in which to run. This is typically supplied by the JRE associated with the browser within whose page they run. Or by the code within the appletviewer application. I can't see any good coming from the hopeful invokation of the JApplet constructor without that context...
If all you are trying to do is play a sound clip, notice that Applet has a useful static method - newAudioClip() - which, because it's static doesn't require you to construct any applet instance. It returns an AudioClip instance which, in turn provides methods to play the clip.
It's not clear what problems you are having with the url. Is it throwing URISyntaxException? or somethng else? Perhaps the URI you are using should specify the file: protocol.
It could be that the MalformedURLEception occurs simply because the uri is null in which case it is the first exception that has to be addressed.