There are several ways to build dialog boxes:
JOptionPane - Simple Dialogs
Color.showDialog(. . .)) to display a dialog that lets the user choose a color, or you can add listeners to make a more complicated dialog interaction, or you can use this class to create a color chooser pane.
Every dialog is attached to a window (frame). When the window in iconified, the dialog will automatically disappear, and it will automatically reappear when the window is deiconified. When the window is destroyed, the dialog will disappear.
When a dialog in active, input to other parts of the graphical user interface will be blocked. This kind of dialog is called a modal dialog. If you want a dialog which is modeless (allows interaction with other windows), you must use the JDialog class.
A date picker is likely for Java 6.