I have a little frame where I ask user & password. This frame will be opened clicking over a button in a main window.
Then I have two buttons: ok and cancel.
You can call setVisible(false) on the frame.
You might also want to call setDefaultCloseOperation on the frame passing in HIDE_ON_CLOSE (info here: http://java.sun.com/javase/6/docs/api/javax/swing/JFrame.html#setDefaultCloseOperation%28int%29). That will prevent the app from going away if they user hits the "X" on the JFrame to close it.