I know this might seem like a basic question but we haven't really been taught it at university and I was getting curious.
Once you've created your program and have all your relevant java classes/package and it has been compiled where do you find the .exe and how would you go about making an installer for the programme you have created if it is required?
You normally don't. You either provide JAR file that can be executed from command line (or double click, but this often fails with Windows due to wrong registrations of execution services) or you provide it as WAR/EAR file that is deployed on some Java container/server
Many people specially students insists on creating exe files, which is possible with some additional often expensive tools. You can read about it here