Jxe - description from Softdepia.com:
The Jxe is a Java-to-win32-executable wrapper. It will wrap your Java classes into one single *.exe file which will make the startup and distrubution of your Java programs much easier on a Win32 plattform. The Jxe comes with a free archive program (Jxa.exe) to pack your class files into a zip or jar file. The target system for a Jxe generated executable must have either the Sun JVM (java.exe,javaw.exe) or the MS JVM (jview.exe/wjview.exe) to run. The target JVM must not necesserely be in the system path. If you write Java programs that will run on JDK1.1.4 this should not be a problem since Win95/98/NT/2000 ships with that version onboard. You should pack all your resources into a jar or zip file and pass that file to the Jxe with the -jar option. Otherwise you will need to use the -cp option and distrubute the resources separatly.
Jxe is a "Free to try" program. You can download and try it for an evaluation period.