JRE stands for Java Runtime Environment. Ask yourself how your neighbour's machine is going to get on providing a runtime environment for your Java program.
That said, there is software about that will construct native executables from Java source. Some costs money. Google +Java +"native executable". Or search this forum where the question is often asked.
[Edit]I've just noticed there's a Duke at stake! Check out http://www.javaworld.com/javaworld/javaqa/2000-06/02-qa-0609-exe.html It has links to 7 different compilers before its "Be warned though..."