How can I create a *. exe file

Im new to Java but i did some C++ before. When I wrote a program in c++ it created a *.exe file. I didnt really see anything like it. So How can I do it??
Thanks for your help

correction, jar files can be run through the Java Virtual Machine on Windows by double-clicking them simply because they are associated with the JRE installed on that system.
The JVM will look for the Main-Class attribute in the META-INF/MANIFEST.MF file within the jar.
As an analogy, can .doc files be executed ? no, but they can run by double-clicking them and opening Microsoft Word (if it is installed on the system).
Have fun !!
Tony Morris
Software Engineer, IBM
Gold Coast, Australia

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