There's a good tutorial here:
How to Use Menus (The Java™ Tutorials > Creating a GUI With JFC/Swing > Using Swing Components)
But essentially you have a menu bar, called JMenuBar.
You also have menu items, when are called JMenuItems.
You add JMenuItems to the JMenuBar of course.
In order for anything to happen when you click on your items, you'll need to add an action listener to each JMenuItem.
It would look something like this:
JMenuItem item = new JMenuItem("Open New Window");
item.setActionCommand("newWindow");
item.addActionListener(this);
Now when you click on your Open New Window button, it'll fire an alert that says you've pressed the Open Window Button.
You handle this alert inside of a method called:
public void actionPerformed(ActionEvent e) {
if( e.equals("newWindow") )
openNewWindow();
}
}
**Note that for the events to work properly, you'll need to implement the ActionListener interface.
In order for the window to pop up with text or whatever, I'd recommend using one of the existing JOptionPane static methods.
If you don't like these windows, you can always extend the JDialog class and create your own.
Here is the tutorial for the previous 2 ideas.
How to Make Dialogs (The Java™ Tutorials > Creating a GUI With JFC/Swing > Using Swing Components)