If you are using Eclipse , you can try the below 7 steps to get a .exe file for Windows.
Now you have a JAR file. Use java -jar path/jarname.jar to execute.
If you want to convert this to .exe, you can try http://sourceforge.net/projects/launch4j/files/launch4j-3/
STEP7: Give the .xml file an appropriate name and click "Save". The .xml file is standard, don't worry about it. Your executable file will now be created!