Simple Example for JLabel mouse clicked. In this example when mouse clicked shows another JFrame and close the Main JFrame. Note: this is only for study purpose but having multiple JFrames in one application is not good solution. Instead you can use one JFrame and Multiple JPanels with appropriate layouts.

Main.java

import java.awt.event.MouseAdapter;
import java.awt.event.MouseEvent;

import javax.swing.JFrame;
import javax.swing.JLabel;

public class Main {
	JFrame MainFrame;
	JFrame ChildFrame;
	JLabel label;
	
	public Main(){
		MainFrame = new JFrame("Example");
		MainFrame.setSize(300, 300);
		
		label = new JLabel("Click me");
		labelMousePressed();
		MainFrame.add(label);
		MainFrame.setVisible(true);
	}
	private void labelMousePressed() {                                     
		label.addMouseListener(new MouseAdapter(){

	        public void mousePressed(MouseEvent e){
	        	System.out.println("It works.");
	            
	            MainFrame.dispose();
	            
	            ChildFrame = new JFrame("Child");
	            ChildFrame.setSize(300, 300);
	            ChildFrame.setVisible(true);
	        }          
	    });
    }
    public static void main(String[] args) {
		Main m = new Main();
	}
}