Java in not intended to compile into system executables. IMO, you should not do this, let your application remain cross-platform. You can simply make an executable JAR file, which makes your application run with a double-click on any system which have a JRE installed.
Anyway, if you really want to help M$ solidify their work, search the forum. It has been asked and answered several times. You have two options:
1. Bundle a version of JRE with your application, and create an executable file which runs your application on the bundled JRE.
2. Use a native code compiler like ( http://www.excelsior-usa.com/jet.html ).
Also, try these:
http://www.dobysoft.com/products/nativej/
http://www.ej-technologies.com/products/exe4j/overview.html