I suggest you use NetBeans and create a project using the "Swing Desktop Application" pre-existing template.
It will create the basic infrastructure for your app including a main window with a menu and status bar with a progress bar, about box, event handlers, etc, all pre-wired.
What's nice about it for example is that the progress bar is already configured to listen to any action task that you create, so by simply creating a new action task, you get a working progress bar that will run when the task executes, without having to code it.
For more info see here.
