Thanks for the walkthrough! That's pretty much what I was after, I'd seen .jar files before but didn't know how to make them myself.
And the JexePack looks interesting, I'll have to have a play with it. There was also a link on that page to another program called 'Excelsior Jet' (
http://www.excelsior-usa.com/jet.html) that compiles Java programs to native code that also looks interesting.
Thanks again for all the help!