start a new JFrame from an existing one, and when old JFrame closes new one does not

I have the need to create a new JFrame from an existing one. The code
below show how I am accomplishing this task. However, when the
original JFrame closes, all JFrames created from the original JFrame
closes. Could someone please help me how to create a new JFrame so
that it runs outside the thread of the original? Thanks.

public class MyGuiForm extends JFrame implements ActionListener {

private JButton _btnNew;

public MyGuiForm() {
_btnNew = new JButton("New");
_btnNew.addActionListener(this);

this.getContentPane().setLayout(new BorderLayout());
this.getContentPane().add(_btnNew);

this.setDefaultCloseOperation(JFrame.EXIT_ON_CLOSE);
this.pack();
this.show();
}

public void actionPerformed(ActionEvent ae) {
Object source = ae.getSource();
if(null == source) return;

if(_btnNew == source) {
new MyGuiForm();
}
}

/**
* @param args
*/
public static void main(String[] args) {
SwingUtilities.invokeLater(new Runnable() {
public void run() {
JFrame.setDefaultLookAndFeelDecorated(true);
new MyGuiForm();
}
});
}
}