Java doesn't natively allow building of an exe, that would defeat its purpose of being cross-platform.
AFAIK, these are your options:
Make a runnable JAR. If the system supports it and is configured appropriately, in a GUI, double clicking the JAR will launch the app. Another option would be to write a launcher shell script/batch file which will start your JAR with the appropriate parameters
There also executable wrappers - see How can I convert my Java program to an .exe file?