Build (RUN) and preview the work?

Hi, I have a serious problem, I think so, with programming java. I want to see my java application working while still writing code. It likes programming with Visual basic, for example, when designing and coding such as a command button with an event click showing the action "show msgbox", I can click on button "Run" to test my application easily. But I don't know anyway to do the same in java programming. The result of my works is written in bytecode only, to run and see, I have to use command with "command prompt". It's not comfortable to me. Can I take ease when programming java as well as when programming with Visual basic ?
Thanks !

Maybe you can find an IDE that does that.
Otherwise you'll have to do it the multistep way.