Do not worry about directx and java. This has an impedance mismatch. Java is a cross platform, OpenGL is a cross platform. If you insist on using directx, you can try SWT, since it uses its own resources of the operating system, you may have a chance.
For opengl, what you are looking for is integration of the canvas with the / jframe panel, for this you can use JOGL. I think lwjgl also has an implementation, but jogl is better. Then you can set alwaysOnTop on this jframe.
kenai.com/projects/jogl
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