As Gregg mentioned, there are several commercial tools which do that but they are expensive. You may want to try
Java2exe. You have to pay for it, all functionalities are there but there is some kind of popup frame that appear as long as you don't register... I tried it and it works fine.
The solution given by Gregg is fine too, and IMO more elegant!
------------------
Valentin Crettaz
Sun Certified Programmer for Java 2 Platform