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Creating a Shortcut for a Simple Java Application

I have a very simple java application that takes in strings and arranges them into lists based on the user's specifications. It has two files. Right now there's no GUI: I run it through the command line. Is it possible to compile it into a program that can be downloaded and run by clicking on an icon even without a GUI (a terminal window will pop up when you click on the icon) and have it still function? If so, how do I do so?

If you have Linux & a GNOME desktop, run 'gnome-desktop-item-edit' from terminal, set the command to whatever, and change 'application' to 'application in terminal'. In windows, create a .bat file that looks something like:
#echo off
java [-jar] <path to file>
And a terminal window will pop up that will exit when the command is done.
I don't know about others, but I'm sure there is a way.

Yes you can.
However, there will be some surprising behaviour.
First off, you can double click jar-files to run them. So what you want to do is to build a jar file.
I find that mkyong has a nice tutorial here
Now of course, that's how to do it manually. What you probably want in the long term is a way to do that automatically.
For long term (I am assuming you're a first year student or similar) use, I'd recommend learning Ant or Maven. These are tools that will compile your program, test them and if you tell them to, make jarfiles for you.
While I personally find Ant easier to get started with, but Maven is very widespread in the industry.
Now, let's say that you create the jar, you double click on it, and you enter your strings etc. and all is well... And then it all disappears.
This is because Windows will close terminal windows when they're done. So you'll have to remember to ask for an extra Enter keystroke or something before exiting.
This can be annoying but it's not insurmountable.

What happens to "System.out.println()" in executable jar?

Suppose I've created an executable jar from a code where I have used
System.out.println()
When we run the executable jar, there is no console. So, what happens to this line? How does java handle this situation?
EDIT 01:
NOTE: The situation is when I don't use a console to run the jar nor associate any console with it anyhow.
EDIT 02: Making things clearer:
I know that nothing will be printed anywhere as there is no console..! I want to know how java handle this line in this case? Is this line omitted when generating the bytecode for a executable jar? Or is this line just overlooked when there is no console? Or anything...

There's nothing special about running code in an executable jar file. If you run it from a console, e.g. with java -jar foo.jar the output will still go to the console.
If you run the code in some way that doesn't attach a console - such as javaw on Windows, which is the default program associated with executable jar files - then the output won't go anywhere. It won't cause any errors - the text will just be lost.
Note that in that case, if you use System.console() instead, that will return null. So:
System.out.printf("Foo%n"); // No problem. Goes nowhere.
System.console().printf("Foo%n"); // Would throw a NullPointerException.

The output is omitted, as long as you do not run your application from a console window (java -jar executable.jar). Furthermore, you can configure your Java installation such, that a console windows is launched as soon as you start a Java application. Output will be written to the JVM's console window then. You can find an article How do I enable and view the Java Console? on the official Java web site.

I you open it from the console (java -jar YourJar.jar) the text gets printed in your console window.
If you open it in the explorer (or similar), you won't see the text
To clarify your second Edit:
The bytecode is not omitted, because the compiler cannot know in what context the jar will be executed. The jar can always be called from console, in that case the println has to stay there.
In fact, many jar Files would be completely useless otherwise. There are plenty of Java programs that interact with the user by console in- and output.
It is not neccessary for a java-Program to have a GUI (or to run completely in the background).

Java program unable to execute from command prompt

I recently installed a java software in my PC and started writing some simple programs. I didn't face any problem while compiling the programs, but while executing it, it shows this error message -
"Windows can't open this file.
File: HelloWorld.java
To open this file, windows need to know what program you want to open it. Windows can go online to lookup it automatically, or you can manually select from a list of programs that are installed on your computer.
I know all the path settings are correct. In fact, there was no problem at all while compiling the program. What can be the problem of this? I even reinstalled JRE and that didn't help. Can someone help me?
Note: I'm using Windows 7 64 bit architecture OS and I'm using command prompt for compilation and execution of the file.

I'll assume that you've double-clicked the .java file, e.g. in the file explorer. A java source file isn't a (click-launchable) executable, and - without some acrobatics - neither is a compiled .class file: you shouldn't expect to double-click either and start your program.
In order to get this sort of behavior, you'll need to build a launchable program, and there are a few ways to do this. One is by making a batch file that runs the java VM with your code, another is creating an executable jar file.
To just run your code outside your IDE, you can invoke the java VM on the command line:
c:\> java HelloWorld
As to your specific error message, you haven't associated any program with .java files. Typically, as programmers, we want this Windows file association to be our editor of choice or our IDE. You can create this association by Right-clicking on the file, choosing Properties from the menu and then clicking the Change button beside Opens with: to pick an application.
But this is a side-issue: you still won't use this to make .java file executable. Search around this site for questions and answers about building executable jar files. If you're using a specific IDE like Eclipse or NetBeans, use that to refine your search.

When you want to execute the program, you specifiy the class name rather than the file name:
java HelloWorld
Don't use java HelloWorld.java, for instance.

Java - How to enter runtime arguments (of main method) by double-clicking a jar file?

I encountered this problem several times. If I pack a Java application in an executable jar file that takes arguments from a user, then the user have to invoke the program (jar file) from the command prompt by the following command:
java -jar "jar-file-name.jar"
But I want that whenever a user double clicks on the executable jar file (that needs arguments from the user), a window (command-prompt window) appears that would appear if we had invoked the jar file from the command-prompt.
I know one solution to this is using batch file .bat to run the jar file. Is there any other solution?

To explain why:
There are 2 java JVM exe launchers:
java.exe: console based - provides console input/output.
javaw.exe: for GUI apps - hides the console.
JAR file extensions are associated with javaw.exe by default, which is why you don't get a console when you double-click them.
The answers others have given, and adding my own:
rewrite your app so that it uses Java GUI items for input and output instead of System.in/System.out. This may be over-complex for what you require.
You mentioned creating a batch file so that the console-based Java JVM (java.exe) is run, You could also create a windows shortcut specifying the command line: java -jar jar-file-name.jar
You could change the windows file associations for .jar (but generally this is a bad idea -- new Java installs may reset this, and it will mean all java apps run from jars will have a console)
You could use a Java launcher like WinRun4J which allows you to simply drop a double-clickable EXE with an icon and a config file that specifies how your app should be run (with/without console, and with any other JVM and command line parameters )
Personally I went for the last option in my project - I made my jar file non-executable, and the user has to double-click the EXE. It also allowed me to specify a nice icon for my project, and provide multiple options on launch (debug/non-debug mode) simply by having a different exe/config file.

You would need to reassign the explorer association for ".jar" to java.exe instead of javaw.exe. This is somewhat of a questionable thing to do - it might make more sense to create your console output window. You can, of course, trivially pop up a dialog for user input of required execution parameters if they are not supplied on the command line.
There is working code for a console output JTextArea here.

This is an operating system feature.
If you want full control, then you must provide this functionality inside your program (or with a wrapper class.

Can my Java software be transformed to .exe software?

Without learning new programing languages, can we using Java get .exe (executable windows file) software directly? And is there away to make .jar (Java ARchive) software transform to.exe (executable windows file)?
Would this conversion effect the performance of the software?

One of the important points of Java is that it'll run on any platform (e.g. Windows, Linux, etc) that has a suitable Java Virtual Machine (JVM) installed. A .exe file is compiled to work on only one platform.
What you think you want is to turn a .jar into an .exe so you can launch it easily. What I expect you really want is just an easy way of launching a Java app that anybody can understand, including your parents.
The easiest way of doing this is to create a Windows batch file that launches your Java app. One of line of script, one new file, one new instruction to your users - "Double click on runme.bat"
There are ways of turning a .jar into an .exe, but you should think about whether that's really what you want, and if so, why.
Note: you can launch a .jar in Windows by just double clicking on it, as long as the main class is specified in the manifest. You might want to look into tools like Apache Ant to simplify building .jars and their manifests. Just a thought.
EDIT:
A batch file in Windows is a simple text file that contains commands. You can test the commands by running them in the command prompt (Start -> Run -> cmd). When you run a batch file the commands in it are just fed to the command prompt one at a time.
How to run a Jar from the command prompt: "java -jar myfile.jar"
If you create a batch file (.bat - use Notepad or your favourite text editor) containing "java -jar myfile.jar" (without the quotes!) then double-clicking it will launch the main class specified in the manifest of myfile.jar. myfile.jar has to be in the same folder as the batch file, though.
If you use the command "java -jar lib\myfile.jar" (again, without the quotes) then your batch file will run myfile.jar, which needs to be in a folder called lib that's in the same folder as the batch file. Use this approach when you have a whole load of Jars with your application and you don't want to shove them in the user's face :)
Note that moving the batch file will break it, unless it uses absolute paths to the jar file - e.g. "java -jar C:\dev\myfile.jar". Of course, if you use absolute paths then moving the Jar will break the batch file anyway :)
Also, note that you should be able to run a Jar file just by doubling clicking on it in Windows, as long as the main class is specified in the manifest. Give it a try. Of course, convincing your users that they can double click on it is another matter entirely...
As a final note, if you use a batch file, your users will get a nice command prompt window sitting in the background until your Java app closes. That is, unless you start your batch file command with "start". E.g. "start java -jar myfile.jar". If you have your app configured to log to System.out or System.err, you will still get a command prompt when your app writes to either of those streams, though.
Final final note, in the Linux world the equivalent of batch files are shell scripts.

You can launch a .exe from java with Runtime.exec() or ProcessBuilder.
You can make a .exe launcher with http://launch4j.sourceforge.net/

Yes, it is possible: http://www.excelsior-usa.com/articles/java-to-exe.html

I'm not sure if this is an appropriate answer because I don't work with Java but could you not using a shortcut file pointing to the java runtime and pass the jar as an argument, this
I realise this is not the only way, nor probably the best way but to me it seams a little better than creating a batch or converting to an exe file if all you're looking for is a convienient way to launch a java app

The very simplest way is to write a windows batch (.bat) file which will start the application.

I was using a wrapper for java to make exe files for a pretty long time:
JStart32
It is just a wrapper for *.jar files.
But ask yourself:
Wouldn't an exe kill the purpose of javas platform independency?

Check out jsmooth (free) and exe4j and you might want to read make your swing app go native