First of all, you have to handle exceptions in Java. Either catch them and deal with them or mark your function with a throw statement and let the callers handle the exception.
Since your code is running on a Linux server (not your own machine) the owners made limitations of what you can access and what not. It seems like creating new files is not something you can do. At least not programmatically. Instead, you can add a new file to your project (e.g. "data.txt") and now there's a file with a name you wanted and you can change it to your liking.
Also, when you want to print the content of the "scanned" file, doing "System.out.println(sc);" will do you no good as it prints the string representation of the Scanner object. What you want to do instead is scan line by line and print every one of these scanned lines.
I've fixed your code too:
import java.io.File;
import java.io.FileNotFoundException;
import java.util.Scanner;
public class Main
{
public static void main(String[] args) {
String fileName = "data.txt"; // Try "Main.java" instead. ;)
try {
Scanner sc = new Scanner(new File(fileName));
while (sc.hasNextLine())
System.out.println(sc.nextLine());
sc.close();
} catch(FileNotFoundException e) {
System.out.println("Could not open '" + fileName + "\'.");
}
}
}