When the actionPerformed() method is called you simply hide the current frame and display the next. You could subclass JFrame and add a nextFrame() method to make this easier.

Also your action listener could just be a class of it's own constucted with the first frame in the sequence. You only need to create one instance to add to all your "next" buttons:

import javax.swing.*;
import java.awt.*;
import java.awt.event.*;

public class WizardActionListener implements ActionListener {

    private JFrame currentFrame;

    public WizardActionListener(JFrame currentFrame) {
        this.currentFrame = currentFrame;
    }

    public void actionPerformed(ActionEvent ae) {
        currentFrame.setVisible(false);
        currentFrame = currentFrame.nextFrame();
        currentFrame.setVisible(true);
    }
}

JFrame parent = new JFrame("my frame");
JDialog dlg = new JDialog(parent);