Because of security restrictions, an applet may not read or write files on the local system. This is to protect you from a malicious applet storing a virus on your computer or deleting all your files. Only the Jalview Desktop can create, print or save images, alignment files and Jalview projects on your computer.
You can usually send data you have opened in the JalviewLite applet to the Jalview Desktop using the "File -> View In Full Application" menu entry. This will only work if you can launch the java webstart version of the Jalview Dekstop, and in the current version, will not send any additional edits or other changes to the alignment data that you may have made after opening it in JalviewLite.