Java has Swing or AWT as the workhorse for windowing and whatnot. I hear they're not all that great for games, but that's pretty much all I've been using because I can't be bothered to look for anything else XD I think Oracle has some tutorials on how to work with those APIs, you might want to find those.
Swing is aiming for deprecation due to Java FX and its usefulness is currently found only in select mobile devices. Just a friendly FYI.
Shmoopy, I don't know if you wanted to create a game or a game engine, so I included suggestions for both.
Game Engine: If your aiming strictly for graphics, it sounds like a game engine is what your aiming for. Assuming so, and if your not aiming for any special platform, you'll want to study the following Doc Overviews (API):
Java SE 6 or above: http://docs.oracle.com/javase/6/docs/api/ - Core Java (Study multi-threading and how to make things thread safe).
Java FX 8: http://download.java.net/jdk8/jfxdocs/ - Use for interface design (Is replacing Swing)
JOGL: http://jogamp.org/deployment/jogamp-next/javadoc/jogl/javadoc/ - (Use for OpenGL Rendering).
If you intend to access a relational databases using the JDBC or doing any business logic (Struts, Hibernate, Spring), you'll need to go into this too:
Java EE: http://docs.oracle.com/javaee/5/api/
Game: Assuming you want to make a game, I would suggest using the jMonkey engine. They have a modified version of the Netbeans IDE specially tailored to their needs, which can be accessed by going to this site: http://jmonkeyengine.org/
Once you install their IDE, I would suggest refreshing up with their Doc Overview found here: http://hub.jmonkeyengine.org/javadoc/
If you intend to make a game for a specific platform, you may need to adjust my suggestions above to tailor your needs. As an example, I do not believe Java FX is supported on Android (where use of Swing may be needed). Also, Google has their own API which (and correct me if I'm wrong) has their own version of a OpenGL library nullifying the need for JOGL.
Likewise, you may also want to consider your legal direction. jMonkey engine and their IDE are copy left licensed (GNU Version 2+). If you want to sell the game, don't make it with jMonkey. If you want to sell service with the game, you should be fine but I would suggest reading up on the legal details here: http://en.wikipedia.org/wiki/GNU_Free_Documentation_License
Hopefully, this'll give you a good start. Feel free to add to this suggestion all, as my suggestion is very broad, basic and general.
- For the record, I don't make games (yet). I just code business logic and had some exposure to game development in general.