I may be mistaken but I think back in the old days when Microsoft included their own JVM with Windows, Visual J++ could compile Java code down to an .exe.

That's probably not a path you want to take though, if it's even true.

I don't think you'll be able to get around the JRE requirement. The best you can probably do is use Java Web Start to make the JRE download automatic (though your clients will still have to install the JWS client itself).

You'll have the same problem with .NET, at least until everyone's migrated over to Windows XP... you'll need your users to install the .NET Framework runtime, which is not any easier than installing the JRE.

The result of compilation is a bytecode file, not an EXE file. The bytecode must be interpretated by a Virtual Machine (for example Java Runtime Env). You must looking for something that generate an EXE file from a Java source, but I don't bielieve you can find it because interpretation gives java its portability.