Hello and welcome to Java.
I just added an icon to a label, can I programmatically change or remove this icon? so when I press a button, the icon is gone?
If your JLabel is called myLabel, I believe that it can easily be removed by calling myLabel.setIcon(null).
The more general answer to this question is to suggest that you get very familiar with the Java API. It usually will answer most of your questions and can be found here:
Java Platform SE 6
If I run my program, I get a java screen, but is it possible to open my program when netbeans is closed? can I find an .exe or something of my program?
A Java program can be run from the command line quite easily, and if packaged into a Jar file, can be run by double clicking on the Jar -- no NetBeans required. Check out the Java introductory tutorials on how to compile and run Java programs without NetBeans. You can find this here:
Trail: Getting Started (The Java™ Tutorials)
and all of the Sun tutorials can be found here:
The Java™ Tutorials