There are three ways how to specified a icon in Dialog:
1) choose one from standard icons specified by message type (ERROR_MESSAGE, INFORMATION_MESSAGE, WARNING_MESSAGE,
QUESTION_MESSAGE, PLAIN_MESSAGE) See
http://bits.netbeans.org/dev/javadoc/org-openide-dialogs/org/openide/NotifyDescriptor.html#setMessageType(int)
2) your message/innerPane can be JLabel decorated by icon
(http://bits.netbeans.org/dev/javadoc/org-openide-dialogs/org/openide/DialogDescriptor.html#DialogDescriptor(java.lang.Object,%20java.lang.String))
3) your message/innerPane can be Object[], e.g. new Object[] {<my_icon>, <my_component>}. DialogDisplayer uses
FlowLayout for layout these parts of message.
Maybe it can help you.

I tried #1 in Windows but doesnt work:

        PruebaPanel p = new PruebaPanel();
        DialogDescriptor d = new DialogDescriptor(p, "Hola mundo !!", true,
                NotifyDescriptor.INFORMATION_MESSAGE, null, new ActionListener() {
            public void actionPerformed(ActionEvent e) {
            }
        });

It doesnt show the ICON.

My main point here is that to specify an Icon it takes quite a bit of coding it would be nice to be able to just specify
the Icon in the constructor, like you do with JOptionPane.

I thought the Dialogs API was based around the JOptionPane idea. For a simple Dialog you should be able to specify your
title, message, option type (type of buttons), your own icon if needed.