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JMenuBars are set to the JFrame using the setJMenuBar method.
See the following tutorial on how to use them.
http://download.oracle.com/javase/tutorial/uiswing/components/menu.html
I tried too but JMenuItem with Jmenu and JmenuBar was not added to JPanel.
But you can get that feel if you declare JFrame's layout as null then use setBounds(x, y, width, height) on JMenuBar instance then add the menu bar to JFrame.