It is possible to have JWindow/JFrame with borders. Review the example below:
public class MyWindow{
public static void main(String s[]) {
JWindow win = new JWindow();
JPanel pan = new JPanel();
pan.setBorder(new LineBorder(Color.blue));
win.getContentPane().add(pan,"Center");
pan.setLayout(new FlowLayout());
pan.add(new JButton("Hello"));
pan.add(new JButton("World"));
win.setSize(200,200);
win.setVisible(true);
}
}