Assuming you are on Windows, the type of file is determined by its extension (.jar in this case), and you can designate a program to 'open' (execute, in this case) a file with that extension when you double-click it. On Windows Explorer (not Internet Explorer), under "Tools / Folder Options / File Types" is a (long) list of file types and buttons and so forth to change and set their associated programs. For .jar files, mine is set to the "Java(TM) Platform SE binary". I expect
you should set it to your "java.exe", but it was done so long ago on my machine I don't remember. And it might be done by some sort of installation of the JRE, I don't remember that either.