I get the exception: \"URI scheme is not file\"
What I am doing is trying to get the name of a file and then save that file (from another server) onto my computer/se
Your assumption to create File from URL is wrong here.
You just don't need to create a File from URL to the file in the Internet, so that you get the file name.
You can simply do this with parsing the URL like that:
URL fileUri = new URL("http://local.wasp.uwa.edu.au/~pbourke/miscellaneous/domefisheye/ladybug/fish4.jpg");
int startIndex = fileUri.toString().lastIndexOf('/');
String fileName = fileUri.toString().substring(startIndex + 1);
System.out.println(fileName);