This question has been asked many times before on this forum. You can use the Search tool to find the previous discussions. To summarize, you cannot create an exe file with Java itself. This would defeat the whole purpose of "Write once, run everywhere" since exe files are specific to the Windows operating system.
With that said, there are some tricks you can use. One is to use third-party software like those suggested above. Another more "Java-like" trick is to package your application as a JAR file. To make the JAR executable, you can add a single attribute to the its manifest file:
If you need further details, I will refer you once again to the Search tool that can help you find previous discussions on this topic.