3) click on the targets panel and select your target. A thing will appear with tabs like Files and Build Phases and Build Settings. Under the application settings tab you'll see an area named Icon file. Put the path there.
2 & 1) I don't know much about java, so I can't help you with initializing stuff when you declare it or make an instance of a class, but if you want to initialize it before the user gets to do anything one way to do it in Objective C is to throw in a method called awakeFromNib into one of your classes. That way when it is first set up it'll execute the stuff that's in there. I'd assume that it's about the same for Java. You'll probably find how in one of the tutorials that Apple has. Also, if you want your window to come to the front when the program is open, as is mentioned in a tutorial, in Objective C you can use
[windowPointer makeKeyAndOrderFront:self]
You don't have to make a pointer to the window. If you have an outlet to something in the window you can just go like [outlet window] in order to make it return a pointer to the window that it's in. I'd assume that there would be equivalent methods to use with Java. They are probably named the same thing too.