This week's book giveaway is in the Java in General forum. We're giving away four copies of Think Java: How to Think Like a Computer Scientist and have Allen B. Downey & Chris Mayfield on-line! See this thread for details.
In addition to what Micheal said. You can use the javax.swing.ImageIcon class to create an ImageIcon from a file in your computer using the constructor ImageIcon(String). Get use the method getImage() to use a parameter in Frame.setIconImage(Image)