Remember that JSP runs in your application server and produces HTML for the browser to display. So if you just did something like displaying a JFrame from your JSP code, at best that JFrame would appear on the server. Which is probably in a back room somewhere with nobody looking at it.
You could perhaps have your HTML include an
applet, which would do whatever your JFrame was supposed to do. But before you decide that's a good idea
you should really tell us why you want this JFrame and what it's supposed to achieve. It might even be that you should have your HTML include some Javascript that displays an alert box. But it's impossible to say what's your best approach without knowing why you want to do that.