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Jlabel is not visible, where as jDialog is working in addActionListener
btnLogin.addActionListener(new ActionListener() {
public void actionPerformed(ActionEvent ae) {
    JLabel mes = new JLabel("Please wait .. initializing");
    mes.setBounds(268, 249, 221, 14);
    frame.getContentPane().add(mes);
    JDialog d = new JDialog(frame, "Please wait .. initializing", true);
    ImageIcon loading = new ImageIcon("ajax-loader.gif");
    frame.add(new JLabel("loading... ", loading, JLabel.CENTER));
    JDialog d = new JDialog(frame, "Please wait .. initializing", true);
    d.setVisible(true);
    d.setBounds(268, 249, 221, 14);
    d.setLocationRelativeTo(frame);
    d.setVisible(true);
}

}
JLabel is not shown,but jdialog is seen on addActionListener

mes.setBounds(268, 249, 221, 14); suggests you're using a null layout, use a proper layout manager. See null layout is evil and the answers in this question for more information on why you should avoid it. Also, for better help sooner post a valid [mcve], also I think you need to call revalidate() and repaint() methods...

Most likely the button is overlapped by the label

You're adding a new JLabel on the frame. This will add it to the default position of the default manager of the JFrame, which is: BorderLayout#CENTER... Pixel perfect applications are an illusion, see what happens here if you use them like you're using them...
