Try this:
public static String getURLData( String url ) {
    // creates a StringBuilder to store the data
    StringBuilder out = new StringBuilder();
    try {
        // creating the URL
        URL u = new URL( url );
        // openning a connection
        URLConnection uCon = u.openConnection();
        // getting the connection's input stream
        InputStream in = uCon.getInputStream();
        // a buffer to store the data
        byte[] buffer = new byte[2048];
        // try to insert data in the buffer until there is data to be read
        while ( in.read( buffer ) != -1 ) {
            // storing data...
            out.append( new String( buffer ) );
        }
        // closing the input stream
        in.close();            
        // exceptions...  
    } catch ( MalformedURLException exc )  {
        exc.printStackTrace();
    } catch ( IOException exc ) {
        exc.printStackTrace();
    } catch ( SecurityException exc ) {
        exc.printStackTrace();
    } catch ( IllegalArgumentException exc ) {
        exc.printStackTrace();
    } catch ( UnsupportedOperationException exc ) {
        exc.printStackTrace();
    }
    // returning data
    return out.toString();
}
If you need to work with a proxy you will need to do some more work, since you will need to authenticate. Here you can read something about it: How do I make HttpURLConnection use a proxy?
If you want a client that works like a browser, you can try the HttpClient from Apache HttpComponentes
Now, if you need a behavior where the server notifies the client, so you will need to use another approaches, like creating your own server and working with sockets. If you work with a regular browser you can use websockets, but it seems that is not your case.