Here is the way I do it:

Create an empty directory c:\Program Files\jEmplode
If you have plugins, create a plugins directory c:\Program Files\jEmplode\plugins and copy the plugin .jar files there
Copy jemplode.jar into said directory
Create a shortcut whose target is: javaw.exe -jar jemplode.jar
Make the Start In directory c:\Program Files\jEmplode
I change the icon to the jEmplode.ico icon file (from an earlier release, Mike, maybe you could bundle the ico file in the .jar file also so folks could extract if they like)

Double click on the shortcut to run jEmplode.