You can print out just about any character you like in Java as it uses the Unicode character set.
To find the character you want take a look at the charts here:
http://www.unicode.org/charts/
In the Latin Supplement document you'll see all the unicode numbers for the accented characters. You should see the hex number 00E9 listed for é for example. The numbers for all Latin accented characters are in this document so you should find this pretty useful.
To print use character in a String, just use the Unicode escape sequence of \u followed by the character code like so:
System.out.print("Let's go to the caf\u00E9");
Would produce: "Let's go to the café"
Depending in which version of Java you're using you might find StringBuilders (or StringBuffers if you're multi-threaded) more efficient than using the + operator to concatenate Strings too.