Anyone know how to convert a java program into .exe file?

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Hi mylotters, I love programming in java (even though I'm such a noob) and I love programming in java. I just finished my GUI based program that I coded in java language, and I know that I just made it for fun and for the sake of my practice and experience, but I was wondering if it's possible to convert my java program into .exe file, and if it is, then what are the procedures I need to follow so I can do so? Thanks for your interest and responses, and happy mylotting :)