使用JSmooth.

JSmooth is a Java Executable Wrapper that makes a standard Windows
executable binary (.exe) from a jar file. It makes java deployment
much smoother and user-friendly, as it is able to find a Java VM by
itself. When no VM is available, it provides feed-back to the users,
and can launch the default web browser to an URL that explains how
to download a Java VM.
If you want to be able to use .ico files for your icons (instead of
 the default .GIF, .PNG, and .JPG), you need to install Sun’s JIMI
 package. This package is not free software, this is why you need to
 download it separately.

 Download it on http://www.javasoft.com website, then extract the
 JimiProClasses.zip file, and copy it in the lib/ directory where
 JSmooth is installed (probably on c:program filesjsmooth).