How to create an exe file?

I'm not particular in Java, if you can create exe files, but in other programming language you can. But once you compiled and buid an .exe file I don't think you can edit it, even the programs you use to create it can never edit the .exe file, but why bother if you still have the programming code? When I was in college I uses a program called PC-Tools you can actually open any .exe and .com files and edit the text and save it and still run. But you can only edit the messages of a certain files. I always use it on command.com of ms-dos and change the "bad command or filename" error message to any message I want it to display. Even the command prompt. I'm not aware now if that program still exist, but I'm sure there are still similar program like that which you can find on the net.