Came across this installer, looks very interesting

This is what java2exe uses.

has anyone had experiences with this ???

it's one of the most popular install systems (at least in the OSS world - but not only).

i used it a few times, but not for java apps. i suppose for java app deployment, there are more appropriate solutions (usually one will want something cross-platform).

nevertheless keep us posted if you intend to use it to deploy your jme app.