I usually use a bat script for that. Here's what I typically use:
@echo off
set d=%~dp0
java -Xmx400m -cp "%d%myapp.jar;%d%libs/mylib.jar" my.main.Class %*
The %~dp0 extract the directory where the .bat is located. This allows the bat to find the locations of the jars without requiring any special environment variables nor the setting of the PATH variable.
EDIT: Added quotes to the classpath. Otherwise, as Joey said, "fun things can happen with spaces"