Basic program flow

I just started trying to learn java coming from C++. Being a C++ guy, I
must understand the details.

What is going on, as I debug through the static main method, my window
is created and it is displayed, and responds. Yet, the debugger steps
out of main...Which I would think exits the program.

Indeed I see threads in the debugger that look like it is in some built
in method for exiting the program.

Did I make a new thread when I created a frame? If so, at what point?
Why doesn't the program exit after main is done? What keeps it alive?
Remember I am coming from the C Windows API and am used to a windows
message pump...i.e. a loop where the program is executing, by
dispatching messages.

Did I make a basic frame correctly? There seems to be 900 different ways
of doing it.

I made this, doing my best to follow tutorials on the net:
----------------------------------------------------------------------------
import java.awt.*;
import java.awt.event.*;

import domain.*;

public class Application extends Panel implements WindowListener
{
    ///
    private static final long serialVersionUID = 5321647437323807661L;

    ///
    public static void main(String[] args)
    {
        Frame frame = new Frame("Application Frame");
        Application application = new Application();
        frame.addWindowListener(application);
        application.initialize();

        frame.setSize(300,200);
         frame.setLocationByPlatform(true);
        frame.add("Center", application);
        frame.pack();
        frame.setVisible(true);
    }

    ///
    public void initialize()
    {
        Card card = new Card();
        card.SetName("Shenanigans");

        System.out.format("The card name is: %s %n", card.GetName());
        System.out.print("Done.");
    }

    ///
    public void windowDeactivated(WindowEvent e)
    {
    }

    ///
    public void windowDeiconified(WindowEvent e)
    {
    }

    ///
    public void windowIconified(WindowEvent e)
    {
    }

    ///
    public void windowOpened(WindowEvent e)
    {
    }

    ///
    public void windowActivated(WindowEvent e)
    {
    }

    ///
    public void windowClosed(WindowEvent e)
    {
    }

    ///
    public void windowClosing(WindowEvent e)
    {
        System.exit(0);
    }
}