Welcome to the Ranch.
If you create an exe you will be tied down to the windoze platform.
Usually, the recommended way is to create an executable jar file. More details at
http://download.oracle.com/javase/tutorial/deployment/jar/ The Manifest section will tell you how to create a self executable one.
However, if you still wish for an exe, you can use options like
http://jsmooth.sourceforge.net/
I personally prefer the executable jar approach