Try navigating with the Finder. In my installation I find the docs in the following directory: Mac OS X/Library/Java/Home/docs/. When I double click on index.html it takes me to the path I listed above. They may be in a different location on your machine.
One way to locate them would be to search for some Java specific doc such as JMenuItem.html and work backwards two layers. That file will sit inside of <...>/docs/javax/swing. You can then navigate up to the docs directory and look for index.html.