How do I convert a Java program to a .exe file?

There are many ways:

See the next page for instructions on how to create a jar file that can be run with double-clicks in Windows.

(Recent distribution version: 2007)

JSmooth is a Java executable wrapper. This creates a native Windows Launcher (.exe) for Java applications. You can easily deploy Java because you can find your own installed Java virtual machines (VMs).

(Recent Deployment Version: 2012 - Shareware)

JexePack is a command-line tool that binds Java programs (class files) to create one compressed 32-bit window executable that can be run on the Java Runtime Environment (JRE). Optionally, you can also add and create resource files (such as GIF/JPG/TXT). It's a command line tool, so it's good for creating automated scripts. Supports both text-mode and Windows programs.

(Recent Distribution Version: 2012 - Commercial Program with Free Trial)

LAX Executable is an executable file used to launch a Java program on any LaunchAnywhere-compatible platform. Currently, InstallAnywhere creates LaunchAnyere in Windows 95/98/NT/2000/Me, Solaris, Linux, and Mac OS X versions. LaunchAnyWhere allows the user to double-click on the icon in Windows and Mac OS X, or use a single command on UNIX to start a Java program.

Reference:

Convert Java to EXE: Why, When, When Not and How