I assume you mean from a shortcut on the desktop (in windows)? If so create a jar file for your application and call from a batch file, e.g.
start jrew -cp Immunisation.jar com.dmsltd.ui.frames.MainFrame
The jrew command runs the app without the DOS console appearing. Set the batch file as your short-cut target.
It is also possible to make an executable (haven't looked into it myself, but plenty of posts about it in these forums).
Hope this helps