There is a way to do it. I'm trying to figure out exactly how though.
From what I can tell from searching the threads in here, you can do this with Inno Setup see http://forum.java.sun.com/thread.jspa?threadID=708451&messageID=4108249
and scroll down a bit.
This does intall the JRE, however, the problem I'm running into is how to set the claspath, so the jar can run.