This little article shows you how to elevate an application using JWSCL.
There are two possible ways to elevate an application :

Elevate the application from the beginning
Elevate special parts of your application

Both ways needs a manifest to be included into your application.
1. Elevate the application from the beginning
The easiest way to elevate an application is to [...]

I found this question in the borland mailinglist:
… I get my dialog and all runs well – *except* I’ve lost theming
on this particular dialog. This means the application’s main windows shows
up correctly themed, the progress dialog does not. I’ve already added the
XP manifest to the progress dialog, too, but to no avail so far.
A theme [...]