use a jar file,though it has so many steps......create a manifest file with.mf extension,the manifest file must contain the class file that has the main method,then isssue the following command in your command prompt window
jar-cmf jarfilename.jar manifestfilename classsesname
jar-cmf jarfilename.jar manifestfilename *.class
if u use the last one then ur manifest file and ur class files must be in the same directory
do not, I repeat NOT go and create an .exe file unless you have no other option.
if your employer demands an .exe file, and threatens to fire you, now this might be a reason I can understand (although you could also look at him with an "you kiddin' me?" expression on your face).
another reason I could understand, is that you have to develop a piece of code that you have to run under Windows in a certain (spooky?) way which only accept an .exe file.
but unless you're in such a situation, don't go there. a .jar file already is an executable, which can run by command line, or by being 'clicked', just like an exe file.
the main difference is, if you "settle" for a .jar file, you don't limit the users of your code to a particular (Windows) operating system. and this is not mentioning that a lot of 'create exe' apps out there create those exe's based on (who would have guessed?) a .jar file. so, since you'll already have the .jar file, you might as well stick with it :)