Check out the documentation for setLocation, setLocationByPlatform and setLocationRelativeTo.
I am only new to Java, but got this information quite simply from the popup Help in NetBeans.
A useful one is setLocationRelativeTo(null), which positions the window in the centre of the screen, if you want that.
To position at a particular point on the screen you can use setLocation(Point p) or setLocation(int x, int y).