Yes, one can create an OS-specific executables from java applications, there have been some question already about this topic, like here: http://stackoverflow.com/questions/2258932/embed-a-jre-in-a-windows-executable
Java is always compiled to a OS-independent byte code that can only be executed in a Java Virtual machine, like the one that comes with the JRE.
Just because you tagged your question with 'eclipse' and mentioned an 'exe' file ... just in case, you created an eclipse RCP application, then there is an elegant way to bundle the application with a java runtime environment: Just create a folder named 'jre' inside your applications directory (same level as plugin and features folder) and copy a JRE to that folder. There might even be checkbox in the eclipse export pages to bundle the app with a JRE.