When I create ImageIcon class objects I use the following code:
iconX = new ImageIcon (getClass().getResource(\"imageX.png\"))
If the image is internal (you want a location relative to your project, or perhaps packaged into your jar), do what mad programmer said:
iconX = new ImageIcon(getClass().getResource("/path/imageX.png"))
The path is relative, so path/ will be a folder in the same folder as your project (or packaged into your jar).
If you want an external image, simply hand ImageIcon constructor the path (ex. "C:/.../file.png"). This isn't recommended though, as it's better to use it as a resource.
For more info on the ImageIcon constructor, see here. for more info on loading class resources, see here (Javadoc links)