This week's book giveaway is in the OCAJP 8 forum. We're giving away four copies of OCA Java SE 8 Programmer I Study Guide and have Edward Finegan & Robert Liguori on-line! See this thread for details.
There's no class by that name in the standard API. javax.swing.JOptionPane is the obvious substitute. I'm not familiar with that book, but I'm sure if you look more closely you'll find that either the author intends this as a non-compilable hypothetical example, or this is a class they show elsewhere in the book or provide in a utility library that goes with the book.