Executable file in Java

have you even tried to search on google ??

Use Exe4j

Please Google it.
Also, digit provided several such softwares last year. One exists in the November 2006, DVD

You can create a jar file of a java code see the link

*en.wikipedia.org/wiki/JAR_(file_format)

In the MANIFEST.MF keep all your class files required (compiled java files) to run the program.
Then create a jar file based on the main class.

If any problem check java docs.