I would like to know how one can make an installer, which I believe is supposed to copy needed files for an apllication to run to somewhere on the PC. I have read about how to make .jar files, and evaluted some softwares that can make installers. However, I have a few questions regarding this. If my program uses some JAVA add ons like JMF or JAI, how can I add these to the .jar file and/or installer so that the program can work well with any machine it is intalled on. I hope I can get some feedback on this topic

Have look at this article Convert Java to EXE one of the tools over there included also on install check to see if your application has all required resources. (Sorry, but I do not remember which one it was...)