I'm not aware of any piece of software that takes the .class file and compiles it down to a native executable. With that said, you do need a JVM installed on the machine in order to run a java application.
However, that JVM could be a JRE which is much much smaller than a JDK. Check out InstallAnywhere from zero-g software.
THis is an installshield like program for Java that creates native binaries ( like .exe's ), that install a JRE, and your application.
www.zerog.com
charlie