I agree with Masijade, one would tend to not create an 'exe' file from a Java program. Indeed there should exist a byte code to exe compiler, though I wonder how efficient/valid one would be; Java is a growing language and some of the specifications of Java aren't easily portable to C++ (which is what a 'class' to 'exe' compiler would likely attempt to do).

What usually happens is that we create a 'jar' file. This file is recognized by Java and executes much like an 'exe' file; the only catch is that you must have Java installed, which of course you do. The easiest way is to make a 'jar' file is to use NetBeans