Here a nice Program from the internets:
http://www.f2ko.de/programs.php?lang=en&pid=b2eIt compiles a bat file to an exe.
You may find it useful when you need to pass parameters
to your game, or want to run anything else in a batch file,
without having it look too nerdy to start.
One example: you could pop up a Desktop-screen after the user exits the game.
Its also nice for starting Java-Programs in a more friendly and convinient manner.