If you want a native executable file (.exe for Windows, ELF format for
Linux, etc.), then you need to use a native compiler for Java.  There
are two worth mentioning, GNU gcj -- which is free but shaky in several
ways, and Exclesior JET -- which costs money but is a very nice product.

Note that neither of these will produce a self-contained executable by
default.  They still require shared libraries that are essentially
equivalent to the "virtual machine".  I believe that gcj MAY be able to
link the virtual machine statically, but it would be an unusual thing to
do.

If you aren't tied to the idea of a platform-native executable file,
take a look at executable JARs.  If you distribute the Sun JRE in
conjunction with an executable JAR file and a Windows shortcut or
UNIX/Mac shell script, you can let people easily run your application
without having to set up the CLASSPATH and such, but still avoid the
problems of native compilers.

see http://mindprod.com/jgloss/aot.html
http://mindprod.com/jgloss/nativecompiler.html

This article covers all the options available for achieving your goal:

Convert Java to EXE - Why, When, When Not and How
http://www.excelsior-usa.com/articles/java-to-exe.html

LDV