A tool called jexegen, which is packaged in the Microsoft SDK for Java 4.0, will convert a Java application (.class files) into a Windows .exe file. However, it doesn't actually produce Windows machine code. Instead, it creates an .exe file containing the Java bytecodes as data, which it passes the JVM to be interpreted. In order to work, the exe file must have access to Microsoft's JVM.
A couple of similar products are JexePack from Duckware and exe4j from ej-technologies.
JET 2.5, Professional Edition from Excelsior will compile Java bytecode into native executables.
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