Using skins in a Java GUI

JFrame inherits from Frame, a heavyweight component and associated with its native screen resource (peer). If the underlying operating system does not support non-rectangular shapes, a skin is not possible.
The Robot class, (come with 1.3) allows you to capture screen rectangles (method createScreenCapture). A possibility is to use JWindow and set the background image with the data you get from the Robot class. Then add a MouseMotionListener, intercept the mouseDragged event and update the background of your JWindow.
You may want to look at the following sites:

http://www.enteract.com/~grieves/ which does some fancy things with the JInternalFrame
http://www.L2FProd.com/ and http://www.lookandfeel.com SkinRegion, Java irregular windows