Your application will work the same way as it did before. You should note that "conversion" to .exe is not really a conversion, it just provides a convenient way of executing the java program in Windows (much like a run-able JAR file).
In case you run a Derby server, it will connect to that server the same way as before. However if you are running Derby in embedded mode, you should make sure the database files will be located at correct path in the filesystem (you shouldn't archive the Derby files in your .exe)