1) is it necessary to load database
  directly into the Application.
  
  Suppose if I have a DB in the back end
  and My application has to connect to
  that DB and display the results on the
  View for this do I need to Add DB into
  the Application directly.
I'm not sure I understand this question. No, you don't need to load a database directly into a client in a client-server architecture. Normally, when I think of a design where a server has a database, I imagine there's some kind of way for the client to query the server for information. Perhaps it's making HTTP requests, which the server parses into a query, runs the query, and then returns the results (perhaps in XML form?).
  2) can we access any DB or a File on
  the Remote server and show the
  required results.( with out adding
  that particular DB or A File into the
  application directly). How can we do
  this.
Are you asking if it's possible, in general, to access a server database from a client? Yes, of course. (See above, re: HTTP Requests).
Any arbitrary file? That depends on how the server is set up. Again, HTTP is one protocol works that way; if you send an HTTP query like "GET someimage.png HTTP/1.0", the server could just be grabbing the whole file someimage.png and sending it back in the response. (Technically, it's not necessarily snarfing a whole file -- it could be creating that PNG dynamically since there's nothing in the HTTP protocol that says it must be sending an existing file -- but that's outside the scope of your question.)
  I lost many of my interviews because
  of this question.
Not to sound too snarky, but interviews are often won and lost not because you don't know the answer, but when you can't communicate effectively. You haven't phrased your question(s) here particularly well.