This week's book giveaway is in the OO, Patterns, UML and Refactoring forum. We're giving away four copies of Refactoring for Software Design Smells: Managing Technical Debt and have Girish Suryanarayana, Ganesh Samarthyam & Tushar Sharma on-line! See this thread for details.
Rocky, if you search this forum you will find that this question has been asked and answered a LOT. But the gist of it is overriding the paintComponent(Graphics g) method of a Swing component (usually a JPanel) and drawing the image in that method. You can also just place an ImageIcon on a component but you will have problems placing other components on top of that. So the paintComponent is the way to go if you are looking for a wallpaper type of feature.