The common way is the following:
- compile your class files: javac *.class
- create a jar file (it's basically a .zip-file):
- echo Main-Class: MyMainClassName > manifest.txt
- jar cvfm MyOwnJarfile.jar manifest.txt *.class
- create a .bat-script (or sh script if your are on unix):
- echo java -jar MyOwnJarfile.jar > start.bat
- Double-Click on start.bat ;-)