JFrame frame = new JFrame("Test");
frame.setIconImage(new BufferedImage(1, 1, BufferedImage.TYPE_INT_ARGB));
// do more something by you...
frame.setVisable(true);

------解决方案--------------------
import java.io.*;
import javax.imageio.*;
import java.awt.image.*;

class LoadImage
{
	//得到一个缓冲图像
	BufferedImage bufImage;
	//得到一个文件的绝对路径
	File file;

	//构造函数
	public LoadImage(String pictureName){
		this.file = new File(pictureName);
		//调用一个返回Image对象的方法
		this.getImage();
	}

	//得到一个BufferedImage的对象
	public BufferedImage getImage(){
		try{
			bufImage = ImageIO.read(file);
		}catch(Exception e){
			e.printStackTrace();
		}finally{
			if(bufImage != null)
			{
				return bufImage;
			}
			else
			{
				return null;
			}
		}
	}
}