Desktop/command line Java programs are compiled into .jar files. You can make a "runnable jar" that will launch your program when the user double-clicks it.
Here's how to create a runnable jar in Eclipse:
http://help.eclipse.org/luna/index.jsp?topic=%2Forg.eclipse.jdt.doc.user%2Ftasks%2Ftasks-37.htm
- From the menu bar's File menu, select Export.
- Expand the Java node and select Runnable JAR file. Click Next.
- In the Opens the Runnable JAR export wizard Runnable JAR File Specification page, select a 'Java Application' launch configuration to use to create a runnable JAR.
- In the Export destination field, either type or click Browse to select a location for the JAR file.
- Select an appropriate library handling strategy.
As far as converting your compiled Java .jar into a Windows .exe, you might consider using Launch4j.