create a JPanel, set to BorderLayout (or whatever), then set the panel as the contentPane of the frame. Now add components to the panel, as you would the frame.
the swing FAQ (link on swing main page, above topics) has an example of a JPanel with background image - this is what you'd use for your contentPane
Actually i have a panel in the Frame, where i have to put the background image and also i have few swing controls(labels, combobox, textbox....). So if possible can somebody please give me some sample code or some related links.