I made it with the LibGDX java library in the IntelliJ IDE (apparently it uses gradle for dependencies but i don't really know what that means or if that's helpful for you); I couldn't figure out how to pack it into an executable file. I would really appreciate the help if you knew how to do that!
I searched a bit and found this link to a program that may help you to create an exe for windows and other platforms Launch4j - Cross-platform Java executable wrapper I hope this helps!