How do I set the focus to a component ?

None of your proposals worked. Here is the code:

import java.awt.*;
import java.awt.event.*;
import java.sql.*;
import com.sun.java.swing.*;
import com.sun.java.swing.event.*;

public class SwingApp extends JFrame implements ActionListener,CaretListener {
  JPanel p1,p2;
  JLabel l1,l2;
  JButton b1,b2;
  JTextField tf1,tf2;
  FileJComboBox fcb1;
  Connection con;
  public SwingApp() {
    Container contentPane = getContentPane();
    p1=new JPanel();
    p2=new JPanel(new GridLayout(0,1));

    p1.add(l1=new JLabel("Database Name",SwingConstants.LEFT));
    p1.add(tf1=new JTextField(50));
    p1.add(b1=new JButton("Open"));
    p1.add(b2=new JButton("Close"));
    contentPane.add("Center",p1);

    p2.add(l2=new JLabel(" ",SwingConstants.CENTER));
    contentPane.add("South",p2);

    b1.setEnabled(false);
    b2.setEnabled(false);
    tf1.requestFocus();
    tf1.addCaretListener(this);
    tf1.addActionListener(this);
    b1.addActionListener(this);
    b2.addActionListener(this);
    addWindowListener(new WindowAdapter() {
      public void windowClosing(WindowEvent e) {
        dispose();
        System.exit(0);
      }
    });
  }

  public void actionPerformed(ActionEvent e) {
      if (e.getSource()==b1 || e.getSource()==tf1) {
      try {
         con=DriverManager.getConnection("jdbc:odbc:"+tf1.getText());
         l2.setText("SUCCESS!");
         tf1.setEnabled(false);
         b1.setEnabled(false);
         b2.setEnabled(true);
      } catch(SQLException sqle) {
        l2.setText("Could not open: "+tf1.getText());
        return;
      }
      } else if (e.getSource()==b2) {
      try {
        con.close();
      } catch(SQLException sqle) {
      }
      con=null;
      tf1.setEnabled(true);
      b1.setEnabled(true);
      b2.setEnabled(false);
      l2.setText("");
      }
  }

  public void caretUpdate(CaretEvent e) {
    if (tf1.getText().equals(""))
      b1.setEnabled(false);
    else
      b1.setEnabled(true);
  }

  public static void main(String[] args) {
    SwingApp window = new SwingApp();
   
    try {
      Class.forName("sun.jdbc.odbc.JdbcOdbcDriver");
      DriverManager.setLogStream(null);
    } catch(ClassNotFoundException cnfe) {
      System.err.println("Class not found");
      return;
    }

    window.setTitle("Java Application");
    window.pack();
    window.setVisible(true);
  }
}

I have recompiled and run your code. The focus is OK when I start the app. When the database
does not exist, for example, the message appears and the focus is lost for the textfield. I
suppose that this is what annoy you. The following change fixes the "problem".

Before:

 } catch(SQLException sqle) {
      l2.setText("Could not open: "+tf1.getText());
      return;
}

After:

} catch(SQLException sqle) {
     l2.setText("Could not open: "+tf1.getText());
     tf1.requestFocus();
     return;
}

The caret position will be at the end of the text entered in the query. If you want to have it at
the beginning:

} catch(SQLException sqle) {
     l2.setText("Could not open: "+tf1.getText());
     tf1.requestFocus();
     tf1.setCaretPosition(0);
     return;
}

I have recompiled and run your code. The focus is OK when I start the app. When the database
does not exist, for example, the message appears and the focus is lost for the textfield. I
suppose that this is what annoy you. The following change fixes the "problem".

Before:

 } catch(SQLException sqle) {
      l2.setText("Could not open: "+tf1.getText());
      return;
}

After:

} catch(SQLException sqle) {
     l2.setText("Could not open: "+tf1.getText());
     tf1.requestFocus();
     return;
}

The caret position will be at the end of the text entered in the query. If you want to have it at
the beginning:

} catch(SQLException sqle) {
     l2.setText("Could not open: "+tf1.getText());
     tf1.requestFocus();
     tf1.setCaretPosition(0);
     return;
}

When I run this program the focus is not OK. It is not in the textfield as it should be.

Here is the full code I have tested. Try it on your system. The focus remains in textfield on
my system (Swing 1.0.2 & JDK 1.1.5 on Win NT 4.0).

import java.awt.*;
     import java.awt.event.*;
     import java.sql.*;
     import com.sun.java.swing.*;
     import com.sun.java.swing.event.*;

     public class SwingApp extends JFrame implements ActionListener,CaretListener {
       JPanel p1,p2;
       JLabel l1,l2;
       JButton b1,b2;
       JTextField tf1,tf2;
//       FileJComboBox fcb1;
//       Connection con;
       public SwingApp() {
         Container contentPane = getContentPane();
         p1=new JPanel();
         p2=new JPanel(new GridLayout(0,1));

         p1.add(l1=new JLabel("Database Name",SwingConstants.LEFT));
         p1.add(tf1=new JTextField(50));
         p1.add(b1=new JButton("Open"));
         p1.add(b2=new JButton("Close"));
         contentPane.add("Center",p1);

         p2.add(l2=new JLabel(" ",SwingConstants.CENTER));
         contentPane.add("South",p2);

         b1.setEnabled(false);
         b2.setEnabled(false);
         tf1.requestFocus();
         tf1.addCaretListener(this);
         tf1.addActionListener(this);
         b1.addActionListener(this);
         b2.addActionListener(this);
         addWindowListener(new WindowAdapter() {
           public void windowClosing(WindowEvent e) {
             dispose();
             System.exit(0);
           }
         });
       }

       public void actionPerformed(ActionEvent e) {
            java.sql.Connection con= null;

           if (e.getSource()==b1 || e.getSource()==tf1) {
           try {
               con=DriverManager.getConnection("jdbc:odbc:"+tf1.getText());
              l2.setText("SUCCESS!");
              tf1.setEnabled(false);
              b1.setEnabled(false);
              b2.setEnabled(true);
           } catch(SQLException sqle) {
             l2.setText("Could not open: "+tf1.getText());
tf1.requestFocus();
tf1.setCaretPosition(0);
             return;
           }
           } else if (e.getSource()==b2) {
           try {
             con.close();
           } catch(SQLException sqle) {
           }
           con=null;
           tf1.setEnabled(true);
           b1.setEnabled(true);
           b2.setEnabled(false);
           l2.setText("");
           }

       }

       public void caretUpdate(CaretEvent e) {
         if (tf1.getText().equals(""))
           b1.setEnabled(false);
         else
           b1.setEnabled(true);
       }

       public static void main(String[] args) {
         SwingApp window = new SwingApp();
         
         try {
           Class.forName("sun.jdbc.odbc.JdbcOdbcDriver");
           DriverManager.setLogStream(null);
         } catch(ClassNotFoundException cnfe) {
           System.err.println("Class not found");
           return;
         }

         window.setTitle("Java Application");
         window.pack();
         window.setVisible(true);
       }
     }