Try this see if this works for you
Go to your program.class right click on it then create a short cut then on the short cut right click on it and click cut then right click on the short cut again and click properties then in the properties where it says target take what is in there out and put this C:\WINDOWS\javaw.exe nameofprogram make sure you dont putC:\WINDOWS\javaw.exe nameofprogram.class
Then make sure where you see startin it is the folder your program is in and then click change icon slect a icon then hit ok or apply and ok then you should be able to just double click on the shortcut that has the icon you selected well hope this helps
this is the ez way I know how to do it ps dont know if this will work with xp