Converting Java Programme to appliation

Hi All ,
Please let me know some technique of Converting Java Programme to appliation.
I have a java program say My.java
I want 2 convert into An application(like exe)
how to do this?

I am not sure I understand you correctly. After you compile the .java file, it is a executable file like .exe file.

Actually when you compile a .java file it creates a .class file which is NOT executable by itself. You have to have the JVM installed to run the program.
In answer to the original question, though, I don't know for sure of any way to create an exe file for a Java program. There has to be a way since I've seen plenty of examples. For now, you may just want to create an executable JAR file instead. Search these message boards to find an example of how this is done. This question has been discussed several times here at Java Ranch.
HTH
Layne

If you're curious to learn more about the executable JAR route, take a look at The Creating an Executable JAR Thread.