Yes, you can covert a war into a jar file by just changing the suffix.
Both wars and jars have the same basic format (they're ZIP files), but wars usually have dependent jars and a web.xml file that describes the application.
Jars and Wars contain Java class files and need a Java engine to run. However, I suspect there are tools out there that can package a JRE, with a lightweight server (if one is needed) and the war/jar file into a single "exe" file for Windows.
I just Googled java Windows exe wrappers and found the top four results looking pretty much like what you're after.
