If you have BlueJ, it looks quite simple. (I'm assuming you have Windows XP, because that's all I know how to teach.
Link - Tutorial
Link - BlueJ Website
Once you have your JAR file created, you must make Windows recognize JAR files and know what to open them with. Once you double-click your new .jar file, a window will come up and tell you that it doesn't know what to open the file with. Click browse.
Go into your Program Files directory and find Java. Click the folder containing the latest version of Java, then the "bin" directory, then select Javaw. Select "Always use the selected program to open this kind of file."
If it still doesn't work, then go into any folder in Windows explorer and click Tools -> Folder Options. Select the File Types tab. Find the .jar extension, click it, and click Advanced. Under the "Actions" list, click "open."
Edit this action, and go to the end of the application path and type "-jar "%1""
EXAMPLE:
Code:
"C:\Program Files\Java\jre1.6.0_07\bin\javaw.exe" -jar "%1"