You have a lot of things to consider. I would suggest that for now you use Java WebStart to launch your application. This gives you things like:
- Easy distribution - put files on a web server somewhere and a JNLP file describing how to glue your files together.
- No messing with EXE-wrappers and multiple distributions - this is in the standard Java installation.
- Easy updates - just create a new set of files (don't update jars in place) and a new JNLP and thats it.
- A sandbox without any effort. Full access to the machine needs code signing which these days is a moving target. Sandbox should be enough for quite a bit though.
Then when you find you have enough users to warrant platform-specific distributions, you can add these as needed instead of getting everything working up front, where you should be concentrating on your application instead.