You will always get this question if you do not have the SecurityPermission granted for using HttpConnection. Basically you are calling out to the internet, for most people this costs them money on their phone, so you can't just have an application connect and cost them money without getting their "approval".
That is what that message is, just select "yes" or "ok" to allow the connection.
When you get that message, there are a few options.
1. Just this once 2. For just this running of the application. 3. Always for this application, now and in the future.
Note that using the wireless toolkit, I believe it doesn't keep you last choice, so each time you run your app through the toolkit, you should be asked this question.
Well I don't think you can call a JSP page from J2ME.
I could be wrong, but with the JSP being converted into a Servlet by the web container at the time it is first called up, means that you won't know the name of the generated Servlet, so you can't call it because you don't know the name and address of that Servlet.