Try something like this:
boolean success = false;
while (!success)
{
try {
System.out.println("Please enter the name of the file: ");
Scanner in = new Scanner(System.in);
File file = new File(in.next());
Scanner scan = new Scanner(file);
success = true;
} catch (FileNotFoundException e) {
e.printStackTrace();
System.out.println("File does not exist please try again. ");
}
}