It really depends on your requirements. There are at least two ways I know (and probably more that I don't know).

1. You can take the Java launcher source code (java.c and java_md.c) and build a custom launcher with a builtin icon resource. That's all you need to do and you can give it whatever name you want.
   
2. You can create a shortcut on the desktop that calls java.exe with your application's commandline invocation and you can associate an icon of your choice with that shortcut.
   

You don't need JNI for either approach. Hope this helps.

Regards,

Alex