IMHO you cant make an OS independent executable (.exe) files, cause these files contain instructions native to the OS and your system architecture, for example an executable made for an 64 bit version of an OS may not run on its 32 bit version.
What I think you are looking for is
executable JARs. They are platform independent and you can run your program directly(just by double clicking the jar like for an exe) if you have properly packaged it into an executable JAR file.
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Nearly a Posting Virtuoso
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