This is very simple in Java 8:
public static void main(String[] args) throws Exception {
    final Path path = Paths.get("path", "to", "folder");
    final Path txt = path.resolve("myFile.txt");
    final Path csv = path.resolve("myFile.csv");
    try (
            final Stream<String> lines = Files.lines(txt);
            final PrintWriter pw = new PrintWriter(Files.newBufferedWriter(csv, StandardOpenOption.CREATE_NEW))) {
        lines.map((line) -> line.split("\\|")).
                map((line) -> Stream.of(line).collect(Collectors.joining(","))).
                forEach(pw::println);
    }
}
First you get your files at Path objects.
Then you open a PrintWriter to your destination Path.
Now you do some Java 8 stream processing with lambdas:
- Files.lines(txt)streams the lines from the file
- map((line) -> line.split("\\|"))splits each line to a- String[]on- |
- map((line) -> Stream.of(line).collect(Collectors.joining(",")))joins the individual- String[]again using- ,
- forEach(pw::println)writes the new lines to the destination file.
Using import static:
    try (
            final Stream<String> lines = Files.lines(txt);
            final PrintWriter pw = new PrintWriter(newBufferedWriter(csv, StandardOpenOption.CREATE_NEW))) {
        lines.map((line) -> line.split("\\|")).
                map((line) -> Stream.of(line).collect(joining(","))).
                forEach(pw::println);
    }
As Java 8 was released only yesterday here is a Java 7 solution:
public static void main(String[] args) throws Exception {
    final Path path = Paths.get("path", "to", "folder");
    final Path txt = path.resolve("myFile.txt");
    final Path csv = path.resolve("myFile.csv");
    final Charset utf8 = Charset.forName("UTF-8");
    try (
            final Scanner scanner = new Scanner(Files.newBufferedReader(txt, utf8));
            final PrintWriter pw = new PrintWriter(Files.newBufferedWriter(csv, utf8, StandardOpenOption.CREATE_NEW))) {
        while (scanner.hasNextLine()) {
            pw.println(scanner.nextLine().replace('|', ','));
        }
    }
}
Again, with import static:
    try (
            final Scanner scanner = new Scanner(newBufferedReader(txt, utf8));
            final PrintWriter pw = new PrintWriter(newBufferedWriter(csv, utf8, StandardOpenOption.CREATE_NEW))) {
        while (scanner.hasNextLine()) {
            pw.println(scanner.nextLine().replace('|', ','));
        }
    }