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Am thinking along the lines of creating a jar file and having all your files compressed into it. On running the jar file, you can unzip it to extract the files of your choice
If you want to make an installer file for windows, i think below link is suitable for your requirement. I never tried this approach of creating the installer file of java applications. But while reading the description of it, i thought that it may suits to your requirement.
Here is the link : http://www.ej-technologies.com/products/install4j/overview.html
Description : install4j is a powerful multi-platform Java installer builder that generates native installers and application launchers for Java applications. install4j excels in its ease of use, its extensive platform support and its powerful screen and action system