Swing (another name for the "Java Foundation Classes") is a Java class library provided as part of Java 2 Platform, Standard Edition (J2SE) to support building graphics user interface (GUI) and graphics functionality for client applications. Swing provides a modern look & feel on many platforms, such as Windows, Linux, Unix and Mac OS.
Since Swing is part of the Java 2 Software Development Kit, no configuration is necessary.
A lot of information around Swing can be found at
Swing is a large library and this is not the place to introduce into the development of GUIs with Swing.
If you are unfamiliar with Swing, you should work through this tutorial.
Since Swing is part of the J2SE Development Kit, the API documentation can be found in the J2SE JavaDoc, e.g. for Version 6 at: http://docs.oracle.com/javase/6/docs/api/index.html.