This tutorial explains JAR files and how to create an executable JAR:
Packaging Programs in JAR Files.
If you want a Windows executable for some reason (note, that will make your program not useful on anything else than Windows), have a look at
Launch4J, which you can use to wrap JAR files in Window exe's.
You could use
IzPack to create an installer for your
Java application.
This might also be interesting:
One-JAR.
[ December 16, 2006: Message edited by: Jesper Young ]