How do I display a message in the status window of any window ? (similar to show status in Applet)

Status window for applets is provided by browsers. You can display a message there by calling Applet/JApplet's showStatus(String) method.

For and application window, you need to make your own status bar. For example, you could add a Label to a Window in the South location of a BorderLayout. (You could also set the window's border to BevelBorder), and you may use this label as a status bar.