One of the important points of Java is that it'll run on any platform (e.g. Windows, Linux, etc) that has a suitable Java Virtual Machine (JVM) installed. A .exe file is compiled to work on only one platform.
What you think you want is to turn a .jar into an .exe so you can launch it easily. What I expect you really want is just an easy way of launching a Java app that anybody can understand, including your parents.
The easiest way of doing this is to create a Windows batch file that launches your Java app. One of line of script, one new file, one new instruction to your users - "Double click on runme.bat"
There are ways of turning a .jar into an .exe, but you should think about whether that's really what you want, and if so, why.
Note: you can launch a .jar in Windows by just double clicking on it, as long as the main class is specified in the manifest. You might want to look into tools like Apache Ant to simplify building .jars and their manifests. Just a thought.
EDIT:
A batch file in Windows is a simple text file that contains commands. You can test the commands by running them in the command prompt (Start -> Run -> cmd). When you run a batch file the commands in it are just fed to the command prompt one at a time.
How to run a Jar from the command prompt: "java -jar myfile.jar"
If you create a batch file (.bat - use Notepad or your favourite text editor) containing "java -jar myfile.jar" (without the quotes!) then double-clicking it will launch the main class specified in the manifest of myfile.jar. myfile.jar has to be in the same folder as the batch file, though.
If you use the command "java -jar lib\myfile.jar" (again, without the quotes) then your batch file will run myfile.jar, which needs to be in a folder called lib that's in the same folder as the batch file. Use this approach when you have a whole load of Jars with your application and you don't want to shove them in the user's face :)
Note that moving the batch file will break it, unless it uses absolute paths to the jar file - e.g. "java -jar C:\dev\myfile.jar". Of course, if you use absolute paths then moving the Jar will break the batch file anyway :)
Also, note that you should be able to run a Jar file just by doubling clicking on it in Windows, as long as the main class is specified in the manifest. Give it a try. Of course, convincing your users that they can double click on it is another matter entirely...
As a final note, if you use a batch file, your users will get a nice command prompt window sitting in the background until your Java app closes. That is, unless you start your batch file command with "start". E.g. "start java -jar myfile.jar". If you have your app configured to log to System.out or System.err, you will still get a command prompt when your app writes to either of those streams, though.
Final final note, in the Linux world the equivalent of batch files are shell scripts.