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How do I create an .exe for a Java program?
I’ve just made a simple program with Eclipse and I want to compile it into an executable, but simply can’t seem to find out how to do it.
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You can convert .jar file to .exe on these ways:

(source: viralpatel.net)
1- JSmooth .exe wrapper:
JSmooth is a Java Executable Wrapper. It creates native Windows launchers (standard .exe) for your java applications. It makes java deployment much smoother and user-friendly, as it is able to find any installed Java VM by itself. When no VM is available, the wrapper can automatically download and install a suitable JVM, or simply display a message or redirect the user to a web site.
JSmooth provides a variety of wrappers for your java application, each of them having their own behaviour: Choose your flavour!
Download: http://jsmooth.sourceforge.net/
2- JarToExe 1.8
Jar2Exe is a tool to convert jar files into exe files.
Following are the main features as describe in their website:
Download: http://www.brothersoft.com/jartoexe-75019.html
3- Executor
Package your Java application as a jar, and Executor will turn the jar into a Windows exe file, indistinguishable from a native application. Simply double-clicking the exe file will invoke the Java Runtime Environment and launch your application.
Download: http://mpowers.net/executor/
EDIT: The above link is broken, but here is the page (with working download) from the Internet Archive. http://web.archive.org/web/20090316092154/http://mpowers.net/executor/
4- Advanced Installer
Advanced Installer lets you create Windows MSI installs in minutes. This also has Windows Vista support and also helps to create MSI packages in other languages.
Download: http://www.advancedinstaller.com/
Let me know other tools that you have used to convert JAR to EXE.