I have a short version of the question:

1. I start a thread like that: counter.start();, where counter is a thread.
2. At the point when I want to stop the thread I do that: counter.interrupt()
3. In my thread I periodically do this check: Thread.interrupted(). If it gives true I return from the thread and, as a consequence, it stops.

And here are some details, if needed:

If you need more details, they are here. From the invent dispatch thread I start a counter thread in this way:

public static void start() {
    SwingUtilities.invokeLater(new Runnable() {
        public void run() {
            showGUI();
            counter.start();
        }
    });
}

where the thread is defined like that:

public static Thread counter = new Thread() {
    public void run() {
        for (int i=4; i>0; i=i-1) {
            updateGUI(i,label);
            try {Thread.sleep(1000);} catch(InterruptedException e) {};
        }
            // The time for the partner selection is over.
        SwingUtilities.invokeLater(new Runnable() {
                public void run() {    
                frame.remove(partnerSelectionPanel);
                frame.add(selectionFinishedPanel);
                frame.invalidate();
                frame.validate();
            }
        });
    }
};

The thread performs countdown in the "first" window (it shows home much time left). If time limit is over, the thread close the "first" window and generate a new one. I want to modify my thread in the following way:

public static Thread counter = new Thread() {
    public void run() {
        for (int i=4; i>0; i=i-1) {
            if (!Thread.interrupted()) {
                updateGUI(i,label);
            } else {
                return;
            }
            try {Thread.sleep(1000);} catch(InterruptedException e) {};
        }
        // The time for the partner selection is over.
        if (!Thread.interrupted()) {
            SwingUtilities.invokeLater(new Runnable() {
                public void run() {    
                frame.remove(partnerSelectionPanel);
                frame.add(selectionFinishedPanel);
                frame.invalidate();
                frame.validate();
            }
        });
        } else {
            return;
        } 
    }
};