How can I create a portable app from a exe + config application??

Well guys,
I'm one of PortablePGP author's,
Following the request of OttoSikora we want create an installer
for PortableApps suite.
Our software is java based so to run it yuo simply launch the jar file.
I'want to know how i can create the installer that have simply copy the
jar file e other subdir in the mobile device.
But since i'm mainly a linux programmer i don't know how create the installer
in exe or paf format.
thank's