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Or use a batch file.

They are mostly commandline programs. No GUI.

How many months have you used a computer?

See the javac program for compiling java programs.

In post#2

There might be some programs out there that do that. I've never seen one.

The jar program is in the JDK's bin folder.

Do you have access to a Search Engine?

Java does not create exe files. This doesn't seem like a java programming problem.
Have you tried asking about this on a forum for exe files?

Maybe, but it won't be easy. class files are output by the javac compiler. A class file's format is documented so you can probably take it apart and build a new one with a lot of careful...