This week's book giveaway is in the OCAJP 8 forum. We're giving away four copies of OCA Java SE 8 Programmer I Study Guide and have Edward Finegan & Robert Liguori on-line! See this thread for details.
Welcome to JavaRanch, Icon Liu! There are programs that you can download to create an exe from a Java application. This approach at creating an executable application would likely have two big flaws - it would only be executable on Windows, and the size of the exe might be a lot bigger than you were expecting as some Java -> exe programs will bundle the JRE (about 5MB) with the application. I'd suggest that you consider Creating an Executable JAR File. Such an application would be only as big as you made it, and would run (by simply double-clicking on the file) on any machine with a Java 2 Runtime Environment properly installed.