Here's the final code I found that roughly simulated what I wanted to do:
// Create dialog box
JDialog dialog = new JDialog(new JFrame(), "Saving...");
// IMPORTANT: setLocationRelativeTo(null) is called AFTER you setSize()
// otherwise, your dialog box will not be at the center of the screen!
dialog.setSize(200,200);
dialog.setLocationRelativeTo(null);
dialog.toFront(); // raise above other java windows
dialog.setVisible(true);
// Sleep for 2 seconds
try
{
Thread.sleep(2000);
} catch (InterruptedException ex)
{
Logger.getLogger(JavaDialogBox.class.getName()).log(Level.SEVERE, null, ex);
}
// Then "close" the dialog box
dialog.dispose();
Lastly, found these 3 links to be quite helpful when writing the above code: