A jar or exe file [Java App], may contain images etc files inside one file the file.jar or file.exe?
In NetBeans and Eclipse, how do this one file [jar] or an file.exe containing All files of the IDE's wanted Project?

There's no such thing as a .exe for a Java program (unless you use an unsupported dodgy system-dependent utility to try to create one).
A .jar file is just a zip file with some metadata. Just like any other zip you can put whatever files or directories you want into it and these will be available to the java program at run time.

In Eclipse, select your project, then "export" from the "file" menu. Select "jar", then check all the files in your project that you want in the jar.

As far as wrapping in an executable is concerned, I've heard good things about JSmooth. If that doesn't suit your needs, there is always Launch4J.

Of course, this assumes that you already have *everything* bundled up in a JAR file for which you can use Eclipse or Netbeans as already mentioned by James.