@raAking:
Its weird, my JAVA_PATH wasn’t set on windows even though I have eclipse + java installed.
I already got a one runnable jar (with several jars inside). I was using the batch/sh files actually to be able to pass an argument for the one jar file (i generate two, one for a server and one for a client, and for the moment the client can input the host address as an argument, but no worries, its temporary, I'll add a textfield or something in-game once I have time) and also for giving the java.library.path thing aswell
edit: I mistook the fat Jar with something else (the ant script that puts jars in jars), it seems quite nice as well actually. Its exactly what I was looking for, thanks very much

Thanks for linking that launch4j, seems nice. I'll look into that for sure.
@gouessej:
I was planning for a webstart too. Maybe not an applet though. A lot of people on the website seem to dislike webstart and like having a downloadable version. I got a webstart working for a lwjgl test application, so I think I'll manage for this one :p
I didn't know the progress bar depended on the number of jars downloaded, thanks for the info.
@Cero:
I'm in a bit of that mindstate as well. I'm guessing the exe instead of plain jar is because you are scared that a random user won't click on a .jar because he won't know what it its ?
And do you use launch4j for your shipping too ?
Thanks everyone for helping me out

Zlandorf