Create an EXE File.

If you create a JAVA program is there away to force JAVA to compile as a EXE file that would run under windows? I understand the whole point of JAVA is to use the JVM but if you wanted to create an EXE file can this be done?

Thanks

First page that comes up searching 'java application as exe'
http://www.yoda.arachsys.com/java/javaexe.html