Reduce the number of System.out.println calls may give a little speedup:

public class IntegerFactoriseFive {

    public static void main(String[] args)
    {
        StringBuilder sb= new StringBuilder();
        long n = 600851475143L;
        for (long i = 2; i <= n; i++)
        {
            if (n % i==0)
            {
                sb.append(i).append('\n');
                n /= i;
                i = 2;
            }
        }
        System.out.println(sb.toString);
    }

}

Reduce the number of System.out.println calls may give a little speedup:

public class IntegerFactoriseFive {

    public static void main(String[] args)
    {
        StringBuilder sb= new StringBuilder();
        long n = 600851475143L;
        for (long i = 2; i <= n; i++)
        {
            if (n % i==0)
            {
                sb.append(i).append('\n');
                n /= i;
                i = 2;
            }
        }
        System.out.println(sb.toString);
    }

}

You can also modify your algorithm.

1. If a number can not be divided by 2 it can also not be divided by any even number. So you can check2 and than only the odd numbers.
2. you can make a list of all little prime numbers and check these and from the point where you have not the primes, try all odd numbers
3. you can stop checking at sqrt(n) but that is quite expensive to calculate. Not so good, but still halves the work, stop at n/2.