Embed a JRE in a Windows executable?
Quite a few options around, commercially this is very good:
http://www.excelsior-usa.com/jet.html
There are two key open source options GCJ and VMKit
http://gcc.gnu.org/java/ and http://vmkit.llvm.org/
Other more prolonged paths would include IKVM.NET:
Which is a .NET JVM which can be statically compiled to an EXE