Well there are not many ways to do this...atleast not without spendin' a few bucks! There are cool packages like Excelsior JET that you can use. But this will cost you. Then there are others like NativeJ which uses a batch file to generate an EXE of the jar filecontaining your classes. Its completely free. But this wont work for JDK1.4+.However the best is JBuilder X(Enterprise). This IDE has the Native code Converter Wizard that creates native exequtables for Linux,HP-UX,solaris and ofcourse Windows. I would advise you to go for the last one. Its the best but costs the most.
Hope this helps.