How can I convert a .jar to an .exe?

Launch4j works on both Windows and Linux/Mac. But if you’re running Linux/Mac, there is a way to embed your jar into a shell script that performs the autolaunch for you, so you have only one runnable file:

exestub.sh:

#!/bin/sh
MYSELF=`which "$0" 2>/dev/null`
[ $? -gt  0 -a -f "$0" ] && MYSELF="./$0"
JAVA_OPT=""
PROG_OPT=""
# Parse options to determine which ones are for Java and which ones are for the Program
while [ $# -gt 0 ] ; do
    case $1 in
        -Xm*) JAVA_OPT="$JAVA_OPT $1" ;;
        -D*)  JAVA_OPT="$JAVA_OPT $1" ;;
        *)    PROG_OPT="$PROG_OPT $1" ;;
    esac
    shift
done
exec java $JAVA_OPT -jar $MYSELF $PROG_OPT

Then you create your runnable file from your jar:

$ cat exestub.sh myrunnablejar.jar > myrunnable
$ chmod +x myrunnable

It works the same way launch4j works: because a jar has a zip format, which header is located at the end of the file. You can have any header you want (either binary executable or, like here, shell script) and run java -jar <myexe>, as <myexe> is a valid zip/jar file.