You want your application program to be installable by users who have not yet earned a Ph.D. in software installation, and on a variety of platforms.
Use an installer.
The process of installing software is non-trivial. Unix command-line geeks will be quite happy to extract a gzipped tar file and set their PATH manually; but if you want your software to be used by the larger masses, you need something simpler. As in, point and click. There are several tools that try to automate this process. The better ones will create startup icons on MacOS, MS-Windows, and even some of the UNIX desktops (CDE, KDE, GNOME).
I’ve had good results with ZeroG Software’s commercial InstallAnywhere. It ensures that there is a JVM installed and has both web-based and application installation modes: that is, you can install the application from a web page or you can run the installer explicitly. See http://www.zerog.com.
Sitraka (formerly KL Group) DeployDirector is a newer entry that promises to automate deployment of client-side applications on hundreds or thousands of desktops. It works with Java Web Start (see Section 23.12). I haven’t tried it. See http://www.sitraka.com/deploy/.
InstallShield has long been the leader in the MS-Windows installation world, but they have had more competition in the Java world. They can be reached at http://www.installshield.com.
Section 23.12 discusses Java Web Start, Sun’s new web-based application installer.