I'm very new to Java and would like to make a simple GUI. It should have a text message and two buttons: one that closes the window, and one that opens a file on my hard drive. My question is what kind of object would be best suited to this purpose: JFrame, Window, JDialog, etc. Thanks in advance!

Sample of what you want?
Try using JFrame,JButton,JPanel, or try this codes and see.

//import java's core pakage
import java.awt.*;

//import java's extensive pakage
import javax.swing.*;

//class definition
public class SimpleGui extends JFrame {

  JButton cbtn; //close button
  JButton obtn; //open button
  JPanel panel;

  //setting the GUI window
  public SimpleGui() {
    super("Simple GUI");
    Container c = getContentPane();
    c.setLayout(new BorderLayout());

    panel = new JPanel();
    panel.setLayout(new FlowLayout());

    cbtn = new JButton("Open");
    panel.add(cbtn);

    obtn = new JButton("Close");
    panel.add(obtn);

    c.add(panel, BorderLayout.SOUTH);


    setSize(200,200);
    setVisible(true);
    //pack();
  }

  public static void main(String args[]) {

    SimpleGui sg = new SimpleGui();
    sg.setDefaultCloseOperation(EXIT_ON_CLOSE);

  }
}