Java is a VM, which means .class code runs on this and only
Java machine , real or virtual.
So the question is : what is an exe ?
if an exe is a doubleclickable icon, then just see Java Web Start
if not: it can be a command for windows or a script for unix ... in
which case you have to write down the instructions to launch the class
in the JVM.
There is e Just in time compiler , but I don't use it...