Java don't create .exe's natively.
You could write yourself a batch file (.bat - in Windows it's just an executable text file) that would execute the program for you. The same goes with Linux. You'd have to write yourself a small program in another language if you want to create an .exe that would launch you Java based program for you.
Not sure about the installer part though. There are quite a few out there though that are free and that would probably work with Java if necessary. I Googled "free Java installer" and got this:
http://www.google.com/search?hl=en&i...installer+java
so I'd say you've got some options in that area.