JWindow shows up as an empty rectangle

Hi everyone.
I have a class which is a subclass of JDialog. When the user clicks the OK button on the dialog, I want to display a "please wait" message while I am doing some processing.
I tried displaying this window by using a JWindow class. The problem is that the window appears as an empty white background rectangle and is not showing the message.
Here is the code I am using in my OK event handler:
javax.swing.JWindow jwin = new javax.swing.JWindow();
jwin.getContentPane().setLayout(new java.awt.BorderLayout());
jwin.getContentPane().setBackground(java.awt.Color.blue);
javax.swing.JLabel JLabel1 = new javax.swing.JLabel( );
JLabel1.setForeground(java.awt.Color.red);
JLabel1.setText( "Please Wait..." );
jwin.getContentPane().add(JLabel1,java.awt.BorderLayout.CENTER);
jwin.setVisible(true);
//jwin.setLocationRelativeTo(this);
jwin.setSize(70,25);
jwin.show();
Any ideas?

The thing is that if I use InvokeLater then JVM invokes the thread only after I finish my processing - I see the JWindow after I finish all my processing. On the other hand, if I use InvokeAndWait I get this exception:
java.lang.Error: Cannot call invokeAndWait from the event dispatcher thread

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