Well the C++ background will surely help w/ Java... you shouldn't have too much trouble. I suggested using applets or possibly Swing classes to help aid in creating a more user friendly interface, but they still are not going to look native, at least to Windows.

The problem (or grace) of Java is that it can run on all sorts of different machines by compiling to Java byte code and running the program with the Java run time environment. If the user doesn't have Java run time environment they won't be able to use your program. Most users do, so your program will run like an .exe, except w/ a Java virtual machine running in the background.

If you really want to create a .exe, I think there are some converters out there. Not quite sure how they work, I would guess they convert your Java code to C, and compile a .exe from that.

check this out too, in case I'm not answering your question:

http://www.excelsior-usa.com/articles/java-to-exe.html