I know what \"thread\" means and if I understand the event dispatching thread (EDT) as \"just a thread\", it explains a lot but, apparently, it does not explain everything.
The event dispatching thread is the thread that handles all GUI events and manages your Swing GUI. It is started somewhere in the Swing code if you have any GUI in your program. The reason it is done behind the scenes is because of simplicity - you do not have to bother with starting and managing an extra thread by yourself.
Regarding the fact that you have to update your GUI with invokeLater()
it is because of concurrency issues. The GUI can be modified only from one thread because Swing is not thread safe(it is worth to note that most of toolkits are not thread safe, there is a nice article that gives some ideas why). This is why you have to submit all GUI updates to run on EDT.
You can read more on concurrency in Swing and event dispatching thread in Sun tutorial on concurrency in Swing. Also, if you would like to see how this could be done in a different way you might like to check out SWT toolkit. In SWT you have to manage EDT by yourself.