A window's title bar is managed by the system window manager, not by Swing. You don't say what OS/GUI you're using.
For Windows XP, open the Display control panel, select the "Appearance" tab, and click the "Advanced" button; you can change the title font there (although the fonts installed on your system may not have the glyphs you need).
Here's some code that checks whether the system default font supports the glyph that you want (I have no idea what the character is; it's a nice-looking glyph from the Katakana set):
import javax.swing.JFrame;
import javax.swing.JLabel;
import javax.swing.SwingUtilities;
public class GlyphCheck
{
public static void main(String[] argv) throws Exception {
final String title = "Testing: \u30CD";
SwingUtilities.invokeAndWait(new Runnable() {
public void run() {
JFrame frame = new JFrame(title);
frame.setDefaultCloseOperation(JFrame.DISPOSE_ON_CLOSE);
JLabel label = new JLabel(title);
label.setSize(200, 100);
frame.setContentPane(label);
frame.pack();
frame.setVisible(true);
}
});
}
}