Possible Duplicate:
How can I convert my java program to an .exe file ?
How can I create an .exe file in NetBeans for a Java program?
I’ve had a look around, and I can make a JAR but not an exe.
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Have a look at JAR wrappers like Jar2Exe, JSmooth or Launch4j.
They will wrap your JAR inside an executable which role is to launch the JVM.