JFrame and JPanel example

///////////////////////////////////////////////////////////////////////////////////////
Create file MainWindow.java
//////////////////////////////////////////////////////////////////////////////////////
public class MainWindow
{

    import javax.swing.JFrame;

    public static void main(String args[])
    {

        JFrame f = new JFrame("This is a basic app");
        //Adding the JPanel to the JFrame
        f.add(new PaintSheet());
        //Resize JFrame relative to JPanel size
        f.frame.pack();
        //Set position in the middle
        f.frame.setLocationRelativeTo(null);
        //Close if pressing X
        f.frame.setDefaultCloseOperation(JFrame.DISPOSE_ON_CLOSE);
        //Show the window
        f.frame.setVisible(true);

    }

}

///////////////////////////////////////////////////////////////////////////////////////
Create file PaintSheet.java
//////////////////////////////////////////////////////////////////////////////////////

import java.awt.Graphics;
import java.awt.Graphics2D;
import java.awt.event.KeyEvent;
import java.awt.event.KeyListener;
import java.awt.Color;
import javax.swing.JPanel;

public class PaintSheet extends JPanel implements KeyListener{

    //Set the JPanel's size to 400x400
    private double width = 400, height = 400;
    //First x && y position
    private double x = 200,y = 200;

    private double dx, dy;

    public PaintSheet()
    {
        //Set the JPanel size
        this.setSize((int)this.width, (int)this.height);
        //Add keyListener
        this.addKeyListener(this);
        //IMPORTANT - THIS LINE ALLOWS JPANEL TO GET KEY PRESS
        this.setFocusable(true);
    }

    @Override
    public void paintComponent(Graphics g)
    {
        //Request focus to allow key pressing
        super.requestFocus();
        super.paintComponent(g);
        Graphics2D g2d = (Graphics2D) g;

        g2d.setColor(Color.black);
        g2d.fillOval((int)this.x, (int)this.y, 40, 40);

        //Sleep the thread to avoid super-moving
        try {
            Thread.sleep(10);
        } catch (InterruptedException ex) { }

        repaint();
    }

    public void keyReleased(KeyEvent e){}
    public void keyTyped(KeyEvent e){}

    public void keyPressed(KeyEvent e)
    {
        if(e.getKeyCode() == KeyEvent.VK_RIGHT)
            this.dx = 1;
        if(e.getKeyCode() == KeyEvent.VK_LEFT)
            this.dx = -1;
        if(e.getKeyCode() == KeyEvent.VK_DOWN)
            this.dy = 1;
        if(e.getKeyCode() == KeyEvent.VK_UP)
            this.dy = -1;

        this.x += this.dx;
        this.y += this.dy;

        this.dx = 0;
        this.dy = 0;
    }
}