Llame al método "setWarningMsg ()" y pase el texto que desea mostrar.
exm:- setWarningMsg("thank you for using java");
public static void setWarningMsg(String text){
Toolkit.getDefaultToolkit().beep();
JOptionPane optionPane = new JOptionPane(text,JOptionPane.WARNING_MESSAGE);
JDialog dialog = optionPane.createDialog("Warning!");
dialog.setAlwaysOnTop(true);
dialog.setVisible(true);
}
O simplemente use
JOptionPane optionPane = new JOptionPane("thank you for using java",JOptionPane.WARNING_MESSAGE);
JDialog dialog = optionPane.createDialog("Warning!");
dialog.setAlwaysOnTop(true); // to show top of all other application
dialog.setVisible(true); // to visible the dialog
Puedes usar JOptionPane. (WARNING_MESSAGE o INFORMATION_MESSAGE o ERROR_MESSAGE)