To expand a little on what @Ricky Clarkson said: MousePressed will fire every time a mouse button is pressed; MouseReleased will fire every time a mouse button is released, and MouseClicked events will fire every time the OS feels that the user is done clicking (i.e. they have clicked enough to overflow the click count or there was enough time from their last click for it to count as the finished click). the user presses and releases the mouse event.
If you want information on a mouse press, then use the MousePressed event. Otherwise, you will get the event of a MouseClicked whenever the OS wants to give it to Java, which can depend greatly on the settings of the system (i.e. how long of a delay is set in the System options - like the Control Panel - to allow for double clicks).
Hope this helps clarify.
Edit: Removed my statements related to the OS information - it seems I was mistaken in my recollection of how this worked. My apologies.