I wrote this little proggie to be able to simply double-click the Java *.class files to run them (which is not possible otherwise unless I've missed something seriously).
If you're interested (and use Java) you can get it here:
http://magos.thejefffiles.com/JavaRunner.zip
Source code is available (C++).
EDIT: If you don't want the console to show, recompile the program and replace "java" with "javaw".