JOptionPane won't pop up

[rabbithole]

Hi guys,

I'm trying to write a program and I want to show a JOptionPane messagebox when an error occurs.

I have this code:

        try {
            MyMethod();                                              
        } catch (FileNotFoundException ex) {
             JOptionPane.showMessageDialog(this,"File not Found");
            System.out.println("File not Found");
        }

allthough the filenotfound message is shown, the option pane is not.
the code is in a class that starts with:

public class Gui extends javax.swing.JFrame

apparently the 'this' should be something else?
can anyone give me an idea on what?