public void run() {
    Thread thisThread= Thread.currentThread();


    HttpConnection c = null;
    InputStream is = null;

    // we only want to have one instance of this thread running
    if (thisThread != currentThread) {
        return;
    }

    try {
        System.out.println(thisThread+ ":" + url);
        c = (HttpConnection)Connector.open(url);

        /* read HTTP Headers    */
        String field, key;
        StringBuffer texto = new StringBuffer();
        int i = 0;
        do {
            field = c.getHeaderField(i);
            key = c.getHeaderFieldKey(i);

            /* if we get a 'location' header then this is a redirect */
            if (key != null && key.equals("location")) {
                
                /* build the absolute URL of the target file            */
                url = HTTPRedirect.redirectURL(url, field);

                /* let's launch another thread to read the new URL */
                currentThread = new Thread(this);
                currentThread.start();
                return;
            }
            i++;
        } while (key != null);


        /* read the HTTP response body, we now have the correct file */
        [...]

        
    } catch (IOException ioe) {
    } finally {
        try {
            if (is != null) {
                is.close();
            }
            if (c != null) {
                c.close();
            }
        } catch (IOException ioe) {}
    }
}

The redirectURL() method is implemented in the HTTPRedirect class and is used to construct the absolute URL of the target file given the URL of the current file and the location header content:

package org.jorgecardoso.net;


/**
 * Utility class for HTTP redirects.
 *
 * Contains static methods that build the absolute URL
 * based on the original URL (the one that originated the
 * redirect response) and on the location
 * header.
 *
 *
 * @author  Jorge Cardoso
 * @version 1.00, 16/07/2005
 */
public class HTTPRedirect {

/**
 * Returns the URL of the redirected webpage.
 *
 * <code>baseURL</code> is the requested HTTP URL and <code>
 * location</code> is the HTTP Location Header value.
 *
 * @param baseURL The requested HTTP URL.
 * @param location The Location Header value.
 *
 * @return An absolute URL that corresponds to the target URL.
 */
public static String redirectURL(String baseURL, String location) {
    if (location.startsWith("http://")) {
        return location;
    } else if (location.startsWith("/")) {
        return "http://" + getHost(baseURL) + "location";
    } else  {
        if (baseURL.endsWith("/")) {
            return baseURL + location;
        } else {
            return baseURL + "/" + location;
        }

    }

}


/**
 * Returns the host part of the URL, without the trailing slash.
 * http://jorgecardoso.org/ - returns jorgecardoso.org
 * @param URL The URL to get the host part from. Must start with http://
 *
 * @return The host part of the URL.
 */
public static String getHost(String URL) {
    if (!URL.startsWith("http://")) {
        throw new java.lang.IllegalArgumentException("URL must start with 'http://'");
    }

    String n = URL.substring(7); // strip http://

    int slashPos = n.indexOf('/');


    if ( slashPos == -1) { // no slash, so this is the host only
        return n;
    } else {
        return n.substring(0, slashPos+1);
    }
}

/**
 * Indicates whether this URL has a file part.
 *
 * @param URL The URL to check for the file part.
 *
 * @return true if this URL has a file part, false otherwise.
 */
public static boolean hasFile(String URL) {
    URL = URL.trim();

    if (!URL.startsWith("http://")) {
        throw new java.lang.IllegalArgumentException("URL must start with 'http://'");
    }

    String n = URL.substring(7); // strip http://

    int lastSlashPos = n.lastIndexOf('/');

    if (lastSlashPos == -1) { //no slash, so no file
        return false;
    } else if (lastSlashPos < n.length()) {
        return true;
    }
    return false;
}


}

You can download this file here: HTTPRedirect