Java Exe Maker - exe4j. exe4j is a Java exe maker that helps you integrate your Java applications into the Windows operating environment. exe4j helps you with starting your Java applications in a safe way, displaying native splash screens, detecting or distributing suitable JREs and JDKs, startup error handling and much more. [Java-Channel] [James Strachan's Radio Weblog] [Steve's Radio Weblog]
While you're at it, look at Jet. Jet builds native EXEs that are really small and don't require masses of extra libraries or a JRE to be redistributed. And it fully supports SWT.