Let's put it another way: one of the main ADVANTAGES of Java is that you have a set of platform-independent binary .class files, instead of a platform-specific .EXE. That's arguably the main POINT of having byte-codes (like Java or .Net) in the first place.
So you don't WANT to throw that advantage away - at least not without a very good reason for doing so.
Graemef is absolutely correct: if you have a simple Java application, all you have to do is ship (or better, download) a class file or two. If you have many classes, packaging them in a ".jar" file is the way to go. And there are many other options, depending on your requirements.
If, for some reason, you wanted to write in Java but still needed to turn your program into a standard, platform-specific .exe, you need to find a Java compiler. One good alternative is GCJ, the Gnu Java compiler:
http://gcc.gnu.org/java/
'Hope that helps .. PSM