In Begining java2 it was given that all derived classes of Window and as well as Window can't be contained in other component. But how can we add JDialog, and some other swing components that are sub classes of Window into JFrame

JFrame object cannot be a container of JDialog object. It can be a owner. For example, you can show a File Dialog on a button (which is present in a frame) click action. You can not include JDialog into JFrame. This is similar to model and mode less dialogs in other languages.