This is the sort of thing that scripting languages are used for.

Creating an EXE file for Java sources is generally bad attempt. Java is
designed to be completely platform independent .your .class files are able
to run on any OS and hardware platform. As soon as you package them
into an EXE file, however, you've now locked your code to run on ONE OS
on ONE hardware platform.

Instead of doing this, package your classes into a runnable JAR file.
Then create a script that will launch it for the user.

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cheers
Aman