Execute multiple query from a text file
Some ideas:


Separate the GUI code from the logic.
If you stay with your current mixed code fail fast. If conn is null there no sense to open the file or ask the user to choose one.
JFileChooser.getSelectedFile() returns a File instance, pass it to FileInputStream directly, don't concatenate strings. File contains the absolute path.
It's a good practice to pass a Charset (or "UTF-8") the the constructor of the InputStreamReader. The default could vary from system to system.
The DataInputStream looks unnecessary. You can pass the FileInputStream to the InputStreamReader directly.
Consider using Guava's readLines.
Maybe you want to report all executed queries, so the if (rc == 0) condition is unnecessary.


Plus it lacks of proper exception/error handling and resource closing as others mentioned in the comments.