How do programs like easy eclipse get compiled to exe?
I'm learning Java in windows and would like to have exe rather than Jar. Also does exe depend on JRE's VM?

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Generally to do such thing is bad idea, you may want to read more on it here Convert Java to EXE. Article also provides some links to available tools if you will still persist on that action

Why bad Idea Peter?
I have easy eclipse running normal with no problem. What trick did they do? What do you suggest as alternative to this

Just Idea came to mind. What If I create C++ program that will launch .class/.jar file via commandline and once Java app is launched it quits?

You see, right now you are working on Windows platform and want to make your application easier to launch, so you want to convert them to exe so with double click you can launch them. However double click launch is way to start JAR file too. Sometimes they do kick of some errors but that's down to issue with given computer configuration of JRE.

If you do convert your application to exe you will not able to use it on any other platform where with JAR there is no problem (there are odd cases when compiled on one OS does not work on other OS because of some libraries, but this is not so often)

As for eclipse, that is a C or C++ application, not Java one.

So there is no performance penalty, just loose cross platform-ity?
and will exe need JRE as Jar do?

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