well java doesn't run as an exe, since exe's are native code, the java interpreter java.exe is native though so you use that to start off your class. (the .java file is source so it needs to be compiled anyway, use javac from sun.java.com ) though it looks like you can already compile it to a class.
you can then package it into a jar and/or just run it with java classname.class etc
There are probably some class/jar > exe wrappers but they will likely do the same thing, the simplest thing is just to make a .bat file with the java classname.class command in it.
so a file called test.java goes to test.class which you can either run or package into a jar, and then run with either
java test.class
or
java -jar test.jar
on my window setup, i have jars automatically run by double click into the KVM, but since there are many flavours of java there isn't one global solution for that.
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