You can create a JDialog out of a JOptionPane, and then display the dialog any location that you desire.
As per the JOptoinPane API:
JOptionPane pane = new JOptionPane(arguments);
pane.set.Xxxx(...); // Configure
JDialog dialog = pane.createDialog(parentComponent, title);
// here set the dialog's location
dialog.setVisible(true);
Edit: Alternatively, you could simply create your own JDialog window de novo as per Andrew's great comment (that now no longer exists?).