Hmmm... I bet that there's a way to do it... you can do it "by hand" by going into File Explorer, doing a View|Options|FileTypes... and associating a file type with the command line ( i.e. javaw YourClass ) that you want to run... the only problem is doing it automatically with an "installer" of some sort. I think some of the commercially available installers wouldn't have a problem with this, since they can set registry values as well as uncompress and copy files. However, to do this in Java all you would have to do is to find a way to write to the windows registry... I'm sure that I've heard of someone using JNI or something to do this...
There probably are other implementations out there, but the first one I found doing a search on "Java windows registry" was
a class called JREG.
There is not really a problem with your main program being platform independent if you do this... just your "installer" program that registers everything will be platform dependent, and windows users would get a little bit extra...
HTH,
-Nate