You want nice pretty shortcut icon so that it runs just like a Windows native program? Double-click and run.
I don't know how to do it by hand but I know it can be done.
InstallAnywhere from zeroG is good java deployment tool.
http://www.zerog.com/
jEdit is very nice program that I use pretty much everday.
www.jedit.org
I like how JDisktReport looks and runs. Installs nicely.
http://www.jgoodies.com/