First off, you do need to import a couple of classes from the Java API to the class you are building the GUI in.
Now that you have the relevent import statements sorted out you can begin to build the GUI. The starting point for GUIs is the JFrame. The JFrame is basically just a window on which you add different components. The code below is taken from the lecture slides as an example of initialising a simple window and the comments explain what is going on
If you typed this out into BlueJ then you would probably not be too impressed with it, but its useful. Really it is! That function makes your first ever GUI, which consists of a window with a little label on that says I am a label. Using this same sort of code you will be able to add menus (Using JMenuBar, JMenu and JMenuItems) as well as other swing controls like scrollbars, listboxes and so on.
Okay, so now you have got yourself a window with a little label on. Great fun. Now how about something useful like a menu bar.