Did you forgot to write your question or just the Title is your question ?
Dont expect answers by posting like this.
You need to atleast type what exactly your problem...
Be sure to explain the environment such as what IDE are you using.
by putting your project into a (valid) .jar file. you can do this by using the functionality of your IDE, but you don't need an IDE to create one. winrar (or a similar program) will do just fine.
The Java SDK has the jar command that will create a jar file.
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
if it is an application your IDE may provide an export as executable jar file option (I know eclipse does), or you can use a program called Java Launcher, which converts your applications into exes.
If it is an applet then you cannot convert it into an exe.
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 :)
Like stultuske said,
if your employer demands an .exe file, and threatens to fire you, now this might be a reason I can understand
You can also use this tool: http://launch4j.sourceforge.net/
What it does is essentially change the extension and make it run correctly.
Even when my employer says "Make it an EXE file" I say "Why? A jar does the same thing"