I want to make an input form in Java so that the user can enter details.
Something like this:

import java.awt.GridLayout;
import javax.swing.*;
class JOptionPaneTest {
public static void main(String[] args) {
    String[] items = {"One", "Two", "Three", "Four", "Five"};
    JComboBox combo = new JComboBox(items);
    JTextField field1 = new JTextField("1234.56");
    JTextField field2 = new JTextField("9876.54");
    JPanel panel = new JPanel(new GridLayout(0, 1));
    panel.add(combo);
    panel.add(new JLabel("Field 1:"));
    panel.add(field1);
    panel.add(new JLabel("Field 2:"));
    panel.add(field2);
   int result = JOptionPane.showConfirmDialog(null, panel, "Test",
        JOptionPane.OK_CANCEL_OPTION, JOptionPane.PLAIN_MESSAGE);
    if (result == JOptionPane.OK_OPTION) {
        System.out.println(combo.getSelectedItem()
            + " " + field1.getText()
            + " " + field2.getText());
    } else {
        System.out.println("Cancelled");
    }
}
}
My output form:

I think I must change my layout to something like BorderLayout. Any ideas how to get the look of the form at the top of the question?
Yes, you have to change layout. Have a look at SpringLayout and this example:

(source: sun.com)
String[] labels = {"Name: ", "Fax: ", "Email: ", "Address: "};
int numPairs = labels.length;
//Create and populate the panel.
JPanel p = new JPanel(new SpringLayout());
for (int i = 0; i < numPairs; i++) {
    JLabel l = new JLabel(labels[i], JLabel.TRAILING);
    p.add(l);
    JTextField textField = new JTextField(10);
    l.setLabelFor(textField);
    p.add(textField);
}
//Lay out the panel.
SpringUtilities.makeCompactGrid(p,
                                numPairs, 2, //rows, cols
                                6, 6,        //initX, initY
                                6, 6);       //xPad, yPad
SpringLayout works fine for this simple form, but there is third party libraries that has more features. I.e. MiG Layout.
Another way to create a form using GridBagLayout, producing the following result:

Code:
JPanel addressPanel = new JPanel();
Border border = addressPanel.getBorder();
Border margin = new EmptyBorder(10, 10, 10, 10);
addressPanel.setBorder(new CompoundBorder(border, margin));
GridBagLayout panelGridBagLayout = new GridBagLayout();
panelGridBagLayout.columnWidths = new int[] { 86, 86, 0 };
panelGridBagLayout.rowHeights = new int[] { 20, 20, 20, 20, 20, 0 };
panelGridBagLayout.columnWeights = new double[] { 0.0, 1.0, Double.MIN_VALUE };
panelGridBagLayout.rowWeights = new double[] { 0.0, 0.0, 0.0, 0.0, 0.0,
                                               Double.MIN_VALUE };
addressPanel.setLayout(panelGridBagLayout);
addLabelAndTextField("City:", 0, addressPanel);
addLabelAndTextField("Street:", 1, addressPanel);
addLabelAndTextField("State:", 2, addressPanel);
addLabelAndTextField("Phone:", 3, addressPanel);
addLabelAndTextField("Mail:", 4, addressPanel);
The helper method addLabelAndTextField:
private void addLabelAndTextField(String labelText, int yPos,
                                  Container containingPanel) {
    JLabel label = new JLabel(labelText);
    GridBagConstraints gridBagConstraintForLabel = new GridBagConstraints();
    gridBagConstraintForLabel.fill = GridBagConstraints.BOTH;
    gridBagConstraintForLabel.insets = new Insets(0, 0, 5, 5);
    gridBagConstraintForLabel.gridx = 0;
    gridBagConstraintForLabel.gridy = yPos;
    containingPanel.add(label, gridBagConstraintForLabel);
    JTextField textField = new JTextField();
    GridBagConstraints gridBagConstraintForTextField = new GridBagConstraints();
    gridBagConstraintForTextField.fill = GridBagConstraints.BOTH;
    gridBagConstraintForTextField.insets = new Insets(0, 0, 5, 0);
    gridBagConstraintForTextField.gridx = 1;
    gridBagConstraintForTextField.gridy = yPos;
    containingPanel.add(textField, gridBagConstraintForTextField);
    textField.setColumns(10);
}
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