Customize JOptionPane Dialog

import javax.swing.*;

public class Test
{
    public static void main(String[] args)
    {
        final ImageIcon icon = new ImageIcon("C:\\Users\\Delfi\\Desktop\\ejemplo.jpg");
        JOptionPane.showMessageDialog(null, "Blah blah blah", "About", JOptionPane.INFORMATION_MESSAGE, icon);
    }
}

or

String mensaje = "Java Tips"

JOptionPane.showMessageDialog(null, mensaje, "http://javacodebasics.blogspot.com/", 
JOptionPane.INFORMATION_MESSAGE, new ImageIcon(getClass().getResource("/Imagenes/dataOk.png")));