Making exe from class file

Hi!
Do you have to make an exe file? Because if you do, you'll loose the platform independant capability. But I read somewhere that there is something called as "jexegen" which can do so. However, the other way to get around the task is to create a batch file and you can have a short-cut to it...your batch file would be something like
@echo off
@start java classname
This should do it.
Pls rate this if it helps you.