To export your project into a runable jar file you can export it using the share button in the top right corner of your project. In the window that appears you'll find the option Application where you can export your project into a runable jar file.
To compile this jar file into an exe file you need another program because greenfoot only exports into jar files.
I would advice you to use JMadex to compile the jars into exe files. It's a very simple but good programm. You can also add an icon to your exe file using JMadex.
@Gevater_Tod4711 dose the exe still need JRE to run it? I mean can it run on PCs which dose not have JDK/JRE installed.
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I read the website you'v given. It still needs JRE.
Any way it's very nice of you to share the tool here :-)