If so, should I call it inside update or render method ?
You need to accelerate your game with slick2D. That means creating a jframe and then adding the slick2D game on top of it. Google it, because its way to broad of a topic to explain right now.
I have never worked with slick 2D but the way you make your game go inside a jframe in lwjgl is by simply calling the
Display.setParent(Canvas parent); Method
do this before you make a call to Diaplay.create();
Also make sure your Canvas is in a visible JFrame before you set it as display parent. then you can just add the joptionpane to the jframe