I wrote a simple HelloWorld programe looks like something this:

import javax.swing.JOptionPane;

public class HelloWorld {

public static void main(String [] args) {
JOptionPane.showMessageDialog(null, "Welcome");

In this simple java programe which in not an applet I just want to print the "Welcome" message in some other fonts and color.

You can't just simply set font and color directly to JOptionPane. You need to create objects that can do that in a panel, and then set display. Refer to java 6 api and look for class api. There are many examples on the Internet. You could search for one easily.