Java is a VM, which means .class code runs on this and only Java machine , real or virtual.
So the question is : what is an exe ? if an exe is a doubleclickable icon, then just see Java Web Start if not: it can be a command for windows or a script for unix ... in which case you have to write down the instructions to launch the class in the JVM. There is e Just in time compiler , but I don't use it...
"A good method shouldn't bypass one screen long"<br />"genius is the knowledge left when one has forgotten everything"
As a matter of fact, I was having the same problem. I had to find an easy way of installing and running my Java-Applications under Windows. SUN should put some more work on this subject. Anyway, I was writing my own installer in C++ for my JAVA-Applications. But then I found a more convenient way. The answer is InstallAnywhere by Zero G: http://www.zerog.com If you register, then you can use freely a version of this application. It allows you to bundle any version of JVM or JRE you want with your program. It produces automatically an EXE file out of your CLASS file, and also icons to doubleclick on.
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Building a Better World in your Backyard by Paul Wheaton and Shawn Klassen-Koop