while loop is causing to many problems

Okay I got this applicatoin using Java2D up with fullscreen.
It all works well, responds fine -- alt+f4 works, alt+tab works, KeyListener works fine reads Escape to quit as well.

Now if I add a while loop (ie. the GameLoop), I get some nasty problems
- alt+f4 fails till I alt+tab off the app
- all key input the keylistener would pick up is not dealt with until I alt+tab out

I am asking this here because I believe this may be the nature of Java, it is very thread heavy as far as I read. So maybe I have to split the FRAME creation and the GameLoop into seperate threads or something...

I cannot believe how long I've been stumped on this, trying to get a bloody gameLoop running and still being able to alt+f4 or press Escape to close the app....