You can do this two ways:
From your Processing editor, by clicking the "Export button", then you have the options of creating an "Embed Java" or a "Full Screen (Present mode)". Bought of this options create a folder containing the .exe file.

this creates a new folder inside your sketch folder.

here you can find the executable file.

The other way would be by having your project mix with java in some other IDE like Eclipse or Intelij. Follow this tutorial on how to do that http://www.learningprocessing.com/tutorials/processing-in-eclipse/
then you can export your work like any java aplication, if you decide to work with eclipse here it's how to do so http://help.eclipse.org/juno/index.jsp?topic=%2Forg.eclipse.jst.j2ee.doc.user%2Ftopics%2Ftjexpapp.html
Hope this could be helpful.
Regards
Jose