For your application, a tool something simple like Java Launcher is the better option. It is simple to use with option to create a Windows executable or an executable jar, Option to change the icon etc.
To my point of view, just few java applications really need to be converted to an executable. If an application had really required to be a 'real' executable, one should have take the decision during design time... and switch to C++ or other compiled languages developement.
Most of newcomers to java actually ask for a way to make their java application look like native (mostly windows) ones. This can be achieve to a point by java launchers or smart installers.
I would suggest making it an executable jar or use Java Web Start. Java Web Start enables automatic upgrading of the program when a new version is loaded in the server/source web site. [ February 15, 2005: Message edited by: Tanveer Rameez ]
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