Hello Cygnus81,
This is quite a common question. One way of converting a .class file to an .exe file is to use a tool named jexegen. This tool I believe will successfully do what you need. I have enclosed a link regarding jexegen:
http://www.math.uwaterloo.ca/~elterra/Generating%20.exe%20from%20.class.html
Best of Luck!
Ming Chou
Developer Technical Support
http://www.sun.com/developers/support