This question belong to serverfault. If I am not wrong then your problem is to give a single application to the end user which will run simply by double clicking on it. But the problem is that ur application refers to some path. so better compress those database file embed those things in your jar and then write the logic to extract the file and store the data in the path that you actually want. I would be preferred if u do the same for home directory means the data must be saved in home directory.
The above (extraction of zip file) should run for once only.
Thanks
Deepak