are you talking about an installer or something? here's one from http://nsis.sourceforge.net/ . I used to make installer for my java application. I also added jre 1.4 with it so that it can be installer when user installs my java program. you will need to learn how to write the scripts, which is nt very hard and may take just a couple of days and you can take help of the sample scripts provided. But rememebr the installer will only be for windows, despite the program to be installed being platform independent.
Author of JPhotoBrush Pro (www.jphotobrushpro.com)