Ok now I've been learning java and all is well but one (minor..) problem has

How do I distribute an executable application to users?
All is fine and dandy when I have the compiler to run my projects but how
does "Joe average user" get to run my apps on his machine without having
to install the JDK on his or her machine and having to type in "java MyApp"
at a DOS prompt??

What files do I have to include to do this?

Thanks in advance for any help!