That's pretty cool. I would also suggest looking into XUL, as it's a lot less work in creating a client interface that is integrated with the host OS, and you can still use Java2SE to drive the main work on the client side but using XUL would probably save you a lot of work creating and maintaining the interface, plus there is nothing on the client side except Firefox (although it won't look like Firefox), although if you want it is simple to create an XPI that may be downloaded and installed locally, you can have it check for updates and update itself online, etc.

XUL File Manager

XUL Amazon Browser

Fucking cool shit, and it looks native no matter what OS you're running it on (though your app would probably would stand out on a Mac because I'd assume you'd be using conventional Windows application design)