There is no "correct" procedure. There are tools available that will bundle the JRE along with your app code and associated files like properties and a bat file to kick off the application, and create an exe out of the whole mess. then you can put that on a Web page and the user can download the exe and start it, and it will install itself. the bat file to start the application should have the classpath setting stuff in it.
I have seen Installsheild used for this, but there are others out there. On the other hand you could just jar up your app, and put out instructions on how to download the JRE and your app and let the user do it. Its cheaper, but more difficult for the end user.
"JavaRanch, where the deer and the Certified play" - David O'Meara