Take a look at the free program Installer Creator -- it lets you set up an install wizard for your program and makes it appear to be exe-ish (an icon shows up in your start menu and on ur desktop etc that you can double click that will link to the .jar)
yes, and quite easily to do, but my advice would be: DON'T
just like java itself, jar files are cross platform. if you create an exe, you'll limit your users, since exe files are not platform independant.
Why all "beginners" absolutely feel the need to do this is just beyond me. I would think it would be much easier to simply Google "How do I deploy/distribute my Java app" and find out the proper way to do it, rather than simply assuming that an "exe" is needed.
Not only does that lock you into one platform it locks you into one version. Any improvements (including security fixes) that come with newer versions of the JRE, are, of course, blissfully ignored.