is it going to be possible to have a connection if I create a J2ME (netbeans) as client and vb.net (2010) as the server?
Provided they both use a compatible connection method, yes. In some cases you might also need to massage the data to and from what the server expects. This is usually the case when endianness comes into play where it's different on the client than the server.
when it comes to this kind, should bluetooth or serial (com) ports be used?
Um...it totally depends on what problem you're trying to solve and the hardware involved. For example, I don't imagine a serial port would be an option when communicating between a smartphone and an earpiece.
I just want to send a word from my mobile as signal to my pc to do other task...
You have a number of options in this case, assuming a smartphone. The most general would be simple HTTP where the PC hosts a web service and the mobile connects to it. You could probably also use SMS, but I'm not very familiar with the protocol. If you want to communicate wired instead of wirelessly, how to go about it kind of depends on what the mobile supports in terms of connections and protocols through those connections.