Do you mean as in HelloWorld.exe? You don't without some expensive software. The ideal way to execute a
java class or set of classes is using JAR files. On a Windows system you can execute a JAR file by double clicking on the file. Or you can write a batch file/shell script that executes the JAR file or Class file is you prefer. Here is a link on how to create JAR files. Good luck!!
http://java.sun.com/docs/books/tutorial/jar/index.html