I want to use Customized dialogs & images for the menu, save/load etc buttons in my 2D game without using inbuilt JButton, JDialog etc & need some hints with that. Please suggest me some of the ways to do that. 
I just create my own classes to handle UI elements most are pretty easy to make. Did you need help implementing anything specific?
Most Swing elements can have an ImageIcon instead of text. Take a look into that option.
Have tried with ImageIcons & it’s pretty OK, I think I can create a single JFrame for the message box, change the message & visibility true/false.
As for specific looks:
I am looking for an interface like this one in the Hearts of Iron, also the theme of game is the same:
http://upload.wikimedia.org/wikipedia/en/1/12/Hearts_of_Iron_Screenshot.jpg
Also how can I create a partial transparent console that scrolls the chat text up.