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Distribute the application from a web server using webstart *(<- link)* and use [deployJava.js|http://java.sun.com/javase/6/docs/technotes/guides/jweb/deployment_advice.html] *(<- link)* to ensure a suitable JRE is installed to run the application.
Use NSIS and package your application with JRE.
Add your jar files to lib/ext of the JRE package.
NSIS can create a short cut (desktop/start menu) to launch java class/jar file
I would not use webstart unless you are sure that clients will have access to the internet, the bandwidth is not an issue and installing the new JRE is allowed (permissions, SLA, etc.)