Do you see your JAR file being displayed with a standard java coffee icon in your windows explorer view? It should list as an executable jar file. If so, then your OS file association is right. Else you can just click on 'open with' and then associate your java.exe with it. Make sure your manifest file is right, as mentioned in the previous post. It is easy to miss out.
I guess this should be moved to the beginner's forum.