Remove duplicate setVisible() from constructor.

I have to set the gameWindow visible after adding the chess board's
panel. Since this happens in startNewGame() it doesn't also need to be
in the constructor.
Add TODO and clarifying comment.

I write the path as a string separated by slashes. This probably won't
work in windows which uses the backslash for paths. I added a note
reminding me to fix this in the future, since I'm currently testing this
on a Mac and don't care about Windows (yet?).
Refactor, make constants uppercase.

I made all the constants (static final) all uppercase. This fits better
with my own coding convention and seems to be what java (and swing) is
doing for constants.
Refactor, order of modifiers

The order doesn't matter, but the convention seems to be static final
instead of final static. Let's be consistant. See for reference:
http://stackoverflow.com/questions/11219556/difference-between-final-static-and-static-final