Searching www.google.com for "java exe" turned up at least 2 possibilities:

http://www.duckware.com/java2exe.html (shareware, not free)
http://www.hal-9000.net/pher/dani/kase/readme.htm (shareware, very cheap)

And you can get a list of other options here: 
http://mindprod.com/jglossn.html#NATIVECOMPILER

> Hi! guys ,I would like to know how can i make exe efficiently out of 
java 
> files.Is there any IDE which have a provision of making a exe and please 
> tell me where i could i get free.