so that it could be independently distributed or run on any other machine?
You are aware that Java is designed to be "write once, run anywhere" whereas executables will only run on Windows (and OS/2) machines? If you are looking for a simple way to deploy have you considered Java Web Start?
Converting a Java application to an executable is not really possible. You can wrap the application up as an executable (google for Java wrappers) or you can use an ahead of time complier (but these have downsides, depending on how your applciation is written). You can also get commercial installers that will package up the JVM and all configuration you might need, but this is kind of like Java Web Start. If all you really want to do is wrap up the start command you could just provide a batch file with your jar file.