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.
You can use JOptionPane for this as well. Just create a new JOptionPane and then treat it like you would treat the content pane of your custom window. When you're done, you can call createDialog() and it will create a JDialog out of your custom panel.