Key Event com Enter

import java.awt.Dimension;
import java.awt.FlowLayout;
import java.awt.HeadlessException;
import java.awt.event.KeyAdapter;
import java.awt.event.KeyEvent;

import javax.swing.JFrame;
import javax.swing.JLabel;
import javax.swing.JOptionPane;
import javax.swing.JTextField;

public class Main extends JFrame {

    public Main() throws HeadlessException {
        setSize(200, 200);
        setDefaultCloseOperation(JFrame.EXIT_ON_CLOSE);
        setLayout(new FlowLayout(FlowLayout.LEFT));
        setLocationRelativeTo(null);

        JLabel lbl = new JLabel("Pressione Enter: ");
        JTextField jtext = new JTextField();
        jtext.setPreferredSize(new Dimension(100, 20));
        add(lbl);
        add(jtext);

        jtext.addKeyListener(new KeyAdapter() {
            public void keyReleased(KeyEvent e) {

                if (e.getKeyCode() == 10) {
                    JOptionPane.showMessageDialog(null, "Pressione Enter Novamente Para Fechar");
                }
            }

            public void keyTyped(KeyEvent e) {
            }

            public void keyPressed(KeyEvent e) {
            }
        });
    }

    public static void main(String[] args) {
        new Main().setVisible(true);
    }
}