The installation package or setup program could vary depending on your deployment method.
For instance, there could be a zero installation deployment using a Java capability called Java Web Start that allows clients to start running your software from a Web browser and the necessary classes on the client side are automatically downloaded and run on the client workstation.
On the other hand if you choose a more classical deployment method things can be as easy as having a Java archive (JAR) including all of the necessary classes of your application on the client side and having a script to properly copy that JAR to the proper place.
More professional ways of doing this can be achieved by using a third party product that allows you to create an executable setup program that encapsulates the JAR files and performs whatever setup tasks you decide. We actually use one of those third-party products to create our isCOBOL setup programs and we may recommend that one to you.
Please contact Veryant Support for more information.