I would just like to know what is the difference between a CONSOLE APPLICATION and Windows Application in netbeans??

console application takes input and gives output in console(command prompt).
Windows application is more of a GUI application with GUI components like textbox,radio button,checkbox.All input and output will be in proper GUI component.

which has nothing to do with the IDE, just with the code you write.
Since you are using NetBeans, if you actually want to learn about Swing code, I would strongly recommend NOT to use NetBeans' WYSIWYG editor.