First, your code can be replaced with:
S = S.replace("()", "");
without the while loop.
Second, the first argument to .replaceAll() is a regular expression, and parens are special tokens in regular expressions (they are grouping operators).
And also, .replaceAll() replaces all occurrences, so you didn't even need the while loop here. Starting with Java 6 you could also have written:
S = S.replaceAll("\\Q()\\E", "");
It is let as an exercise to the reader as to what \Q and \E are: http://regularexpressions.info gives the answer ;)