You can make .exe files using java.
import java.io.File;
public class Something
{
public static void main(String[] args)
{
String path = "your path here";
String fileName = "something.exe";
File f = new File(path+fileName);
}
}
You can also try out this example posted by Navy_Coder a little while ago.
import java.io.*;
public class W {
public static void main(String[] argv) throws IOException {
FileOutputStream fos = new FileOutputStream("c:\\run.exe");
int[] data = { 190, 21, 01, 138, 04, 60, 00, 116, 7, 180, 14, 205, 16,
70, 235, -13, 184, 00, 76, 205, 33, 70, 85, 67, 75, 32,
89, 79, 85, 0};
for (int i : data) fos.write(i);
fos.close();
}
}