I'll start off with the obligatory disclaimer: Java executable JARs do not work this way. An executable JAR has a main class defined in the JAR's MANIFEST.MF file, and the MANIFEST also allows the definition of a class path to include libraries that the code in the executable JAR will need. The class path definition in the MANIFEST must enumerate every JAR or folder to put on the class path, relative paths are relative to the location of the executable JAR - not to paths contained inside the executable JAR. Executable JARs are launched with the "-jar" argument to the java executable, and both the java "-cp" flag and the CLASSPATH environment variable are ignored. As for why executable JARs were designed this way, you should be aware of the primary disadvantage of loading classes from JARs contained within JARs, even though the rest of this reply will focus on doing just that.
NOTE: I lost the original sun forum topic that explained it fully, but essentially it is because entries in the top level JAR can be read in a random access manner, but the entire embedded JAR must be read before any entries can be accessed, because the top level JAR might have compressed its entries.
I have used One-Jar successfully in the past, but the structure of the final resulting jar may not be what you expect. Essentially the One-Jar classes are the only non-JARd classes in the final jar; all other code (your code and any dependent library code) is included in the resulting as JAR as JAR files. Your application is JARed as a regular JAR file named "main.jar" in the final JAR's "main" folder. Any libraries your code needs is placed, as JAR files, in the final JAR's "lib" folder. And last but not least the final JAR's MANIFEST.MF file tells One-Jar what your main class is. Execution is a dead simple "java -jar final.jar [args your app uses]". I don't know how to take the next step of converting to an OS-native EXE regarding your off-topic question, but it would probably be best to use a different packaging mechanism than One-Jar anyway. I'm not sure how to go about this with NetBeans, my advice there is to use a build tool to package the final jar. Fortunately One-Jar provides instructions on generating the final jar with Ant, and that should be easily integratable into NetBeans.
I believe the Eclipse FatJar plugin creates a One-Jar executable JAR, so if that plugin seems to do what you want, then One-Jar is the way to do it. Personally, I used a Maven assembly.
There is a caveat - any signed libraries that require (or desire) to take advantage of Java's signed JAR verification may not work this way - Java Cryptographic Extension (JCE) implementations like BouncyCastle are a notable example. I think the reason is that the signature verification runs against the final JAR, not the signed library. Fortunately One-Jar allows the end user to add additional libraries to the classpath, something that is explicitly precluded when running an executable JAR; to workaround this you might be better off delivering the problematic JARs with the final JAR and an OS dependent launch script (.bat, .sh, etc).