How to compile java program to .exe?

I've made a java program that processes text files with given extension. If the user click this kind file, it can be opened by the program. but the program can only be compiled into .class file or packed as .jar file, so the text file can not opened by .jar program. The user must run .jar program first and click the "open" menu to select a text file.

So I need to compile the java program to .exe to solve this problem.

How can I do that? thanks