It is no longer a problem if..
- The app. is jar'd and has a manifest specifying main()
    (so it becomes 'double click launchable')
- The app. is launched using JWS (icon/menu launchable).

I think you are referring to the console, and it should not be
appearing if you use javaw.

Since you're talking about exe files I'll assume you're using Windows.

javaw.exe is designed to do exactly what you want, but of course you cannot
invoke it from the command line (ie in a "dos window") because then that
window will remain (although you can close it).

To have only the frame and no console window, you need to create a shortcut
in the folder that contains the main class.  As target type "javaw -
classpath . <your class name>" (without quotation marks).

If javaw is in your path (which it is by default), you can then run your
application using the shortcut, and you won't have a console window.