Check out this method:
public static int showOptionDialog(Component parentComponent, Object message,
String title, int optionType, int messageType, Icon icon, Object[] options, Object initialValue) throws HeadlessException
With this method, you can specify just about everything for your option dialog. It will create a button for each element in "options", with the button for "initialValue" being the default button. If you use Strings you will be fine.