frame.setVisible(false);

http://download.java.net/jdk6/docs/api/java/awt/Window.html#setVisible(boolean)

You might also want to release the associated resources, particularly if
you are not going to use it again:

    frame.dispose();

http://download.java.net/jdk6/docs/api/java/awt/Window.html#dispose()

(The documentation still refers to the deprecated show method - read
that as setVisible.)

Tom Hawtin

Assuming jf is your JFrame:
jf.setDefaultCloseOperation(JFrame.EXIT_ON_CLOSE);