How to create a installer using Java that combine tomcat, mysql and war file and come out a final exe?
The possible options have been largely covered in several questions already, especially:
...and other questions tagged java + installer
Although admittedly some options mentioned in those questions cannot produce self-sufficient .exe installers. If a commercial tool is ok for you, I can personally recommend install4j (costs $); among other things, it can create .exe installers (details about my experiences with it). Or, for a simpler, free tool for producing Windows executables out of Java programs, see Launch4j.
Update of my install4j recommendation, based on this comment by OP:
Yes, the exe installer need to install the tomcat, mysql, web application, and db script all in once. At the end, users only need to start the tomcat and mysql service. Go to browser can access the web application.
With install4j,
I have just done a similar thing with install4j (bundle application server, webapp, run database scripts, and many other things; without bundling the database however), so I'm relatively sure it can be done. I do not know if you can do this (easily) with the free tools such as Launch4j.