Creating custom file format that stores images? Is it possible?

Hi, I've seen lots of games that has their own files that nothing can open them except for the game it's self..
Is it possible to do the same in java?

You'd need to come up with a format and write an Image Loader for it, to turn it into a Java Image internally.
Not really sure what the point would be, to be honest.

I just don't want the game to be modded so easly...

You're not going to succeed on that with Java.
Honestly, no point worrying about it.