This is a useful tool to package jar files into native, executable files and then package these into installers. There is a great introduction at The Packaging Tool aka `jpackage` - JEP Café #4 - YouTube which explains how this works, with examples, including file associations.
Java jpackage generates MSI or EXE on Windows, PKG or DMG on macOS, DEB or RPM on Linux, but you have to be on the appropriate platform, so on Windows you can only generate MSI or EXE.