OS X GUI windows? It will be much easier to just use Xcode and create a basic GUI project.
While I suppose it would be possible to do it manually I wouldn't want to .
If you're asking about a different windowing system (such as X11) post back.
Because Java is "cross platform", it's graphics paradigm involves jumping through massive hoops (in ways hidden from you) to abstract away all the native code that the JVM eventually must call in order to get any real graphics work done.
If you wish to program for Cocoa or Cocoa Touch-based GUI applications, learn the correct way of doing it using Apple's paradigms. It will be far easier for you in both the short and long terms.