As others have mentioned, java is incapable of creating executable files (.exe). The java compiler (javac) takes your source code (.java) and compiles it into bytecode (.class), and the Java Virtual Machine then runs your bytecode -- this is how Java programs are run. One consequence of this is that you cannot run Java code on a computer that doesn't have Java installed (i.e. the computer must have the Java Runtime Environment [JRE] installed to run java programs).
Basically, the only way to get around this is to get an Ahead of Time compiler; however, IMO, there really isn't a good, free compiler like that at the moment.
If you're ok with requiring the JRE to be installed, you can compile java programs with:
javac *.java
And then you can run the program via:
java program
(where program.java is where your main method is)
Note that although you do need the JRE, you do not actually need the IDE though. You can run java programs directly from the command prompt, or you can tell Windows to associate JAR files with the java virtual machine, etc...