best way is, not at all...
as Masijade pointed out, if you want a click-and-run program, you're better of with a jar-executable. this way, you get what you want, without forcing the users of your program to use Windows as operating system.
but ... I once had to create an exe, simply because for some tasks, windows will accept exe files and not jar files.
I would suggest NativeJ for that, but if you can avoid creating .exe, don't create one, a jar-file is sufficient in most cases
the best way to create a .bat file which is similar to exe .First create a jar file.n then i same location where your jar file is stored create a notepad file with .bat extension
then write the following code in notepad.
java.exe -cp l.jar;. splashfrm