That should be really easy, especially when you use an IDE (Integrated
Development Environment) like NetBeans or Eclipse.

Also have a look at Suns Java tutorial [1], specifically [2].

[1] http://java.sun.com/docs/books/tutorial/
[2] http://java.sun.com/docs/books/tutorial/uiswing/index.html

If you run into more specific problems, post back.

<reordered for clarity>

I'll assume you are creating a Java desktop application using Swing for
the GUI. In Swing the Frame class is named JFrame. Swing has many types
of container.

If you don't know how to choose between "Frame" and "container", try
each in turn and see which works out best.

Easy, I always start my Java desktop GUI projects in exactly the same way.

I create a ten-line "Hello World" Swing app from a template and
progressively modify it in small (tiny) steps. After each small change I
compile it, correct any syntax errors and run it (should be a
single-button press using an IDE such as NetBeans Eclipse, etc). I don't
add more features until what I have works the way I expect it to.

So start by writing an App that puts one Frame (or container) on screen
- no buttons, nothing else.

See HelloWorldSwing.java at
http://java.sun.com/docs/books/tutorial/uiswing/start/compile.html