Go down the following steps:
1. Make sure the frame appears on the correct monitor (in case you have multiple monitors, check them out too).
2. Make sure the frame size is good enough to see it.
3. Try adding frame.setBackground(Color.RED), this should make your window a vibrant red.
4. If you're using Windows 7 or 8, use Alt+TAB to have Windows highlight the window for you.
5. If none of these things have helped you, your bug is probably elsewhere... Try isolating bits of your code.
For better help, post information and/or show some more code of your program.