You cannot "convert" it. This is not how Java works.
Essentially, JAR is a zipped set of Java class files. And Java class code has nothing to do with PE (Portable Executable) code used on Windows. Java compiled code is
bytecode which operates only on JVM, while EXE is based on CPU instruction set. (On Microsoft Systems, PE files can also target CLR system, which is also based on something similar to Java bytecode, CIL code, but CIL also has nothing to do with JVM, it operates on CLR, so you can just forget this fact.) JVM has its own API with big set of resources unavailable in the native runtime system.
See also:
https://en.wikipedia.org/wiki/Bytecode[
^],
https://en.wikipedia.org/wiki/Java_virtual_machine[
^],
https://en.wikipedia.org/wiki/Java_%28programming_language%29[
^] (yes, read it too, don't assume that you understand what Java is, you really don't),
https://en.wikipedia.org/wiki/JAR_%28file_format%29[
^].
Overall, your whole idea of "converting" JAR is totally useless. Perhaps you can get more help if you explain your ultimate goals.
—SA