I like to use 7zsd.sfx to create installers for my java applications.
Directions:
1.) install 7zsd.sfx from http://7zsfx.info/en/ and install 7z
2.) create a .7z archive
3.) add all the jre files required to run the java application to the archive
4.) add the application itself to the archive
5.) add a .bat or .exe file (for windows) to install the files after 7zsd.sfx extracts all the files
6.) add a .bat or .exe file to run the java application using the jre files
7.) create a file (preferably named "app.tag") with a structure such as that below (add your own parameters)
;!@Install@!UTF-8!
Title="My App"
BeginPrompt="Do you want to install My App?"
Progress="yes"
ExtractDialogText="Please wait while app files are being extracted..."
GUIFlags="32"
ExtractTitle="Installation"
FinishMessage="My app has been installed and added to your desktop."
RunProgram="setup.bat"
;!@InstallEnd@!
The RunProgram is the program that runs after the files are extracted to a temporary folder. This program should create a permanent folder to hold the necessary extracted files (jre, java application, and executable to run app with jre). Additionally, the program should create a nice, good-looking shortcut for the executable file used to run the app and it should move it to the desktop and add an icon.
Finally, to create the exe which will install your files, go to the command line and access the folder with 7zsd.sfx and type in the following command:
copy /b 7zSD.sfx + [pathToDirectory]\app.tag + [pathToDirectory]\yourAppArchive.7z [pathToDirectory]myExeInstaller.exe