I am going to take a stab at this and see what happens.
I don't know for sure, but I would think that component they use is something closer to a JInternalFrame. However, I would imagine that they don't extend JInternalFrame when creating it. I would imagine that they created their own custom component that acts as a container for any other component that can be added to a JFrame, JInternalFrame, JPanel, etc.
I wouldn't be surprised if they started out by overriding something like JComponent and built it from there.
I might be way off, but that seems logical.
Just out oc curiosity, are you looking into this for pure enjoyment? Or are you trying to build one yourself? Because I wouldn't want to. Too much work for something that already exists.