I am using java actively and sometimes want a simple exe file for easier usability to my users. The problem with batch files is the black command consol that should appear in the background. Also, most java desktop software now has its exe file, as example Eclipse, Netbeans.

I found a very nice article at, http://www.javalobby.org/articles/java2exe/, I tried many but became very satisfied with launch4j at http://launch4j.sourceforge.net/

Launch4j is a cross-platform tool for wrapping Java applications distributed as jars in lightweight Windows native executables. The executable can be configured to search for a certain JRE version or use a bundled one, and it’s possible to set runtime options, like the initial/max heap size. The wrapper also provides better user experience through an application icon, a native pre-JRE splash screen, a custom process name, and a Java download page in case the appropriate JRE cannot be found.