Typically, I start by extending JFrame. This class usually only contains main() and a constructor to add an instance of the next class that extends JPanel. It may also have some initialization for a menu, but that's probably a bit more complicated than what you need right now. Then my new JPanel class places all of the objects I need for the interface.
Most of this I learned from the book
Core Java by Cornell and Horstmann. I found it very easy to follow. The examples are great, too. I suggest you delve into your own book to get the details and come back when you have more specific questions.
Layne