I've never used the Launch4J product, good luck in getting it configured correctly.
Looks like you might be able to go to the Discussion Forum on Sourceforge for other hints here
Other Suggestions:
Most of the products I've seen from IBM (Websphere) and Oracle just extract a JRE under the installation directory and configure the startup batch command to use the installed JRE. Essentially the JRE and your jar file would be installed in one shot.
The installation exe usually checks to see if it's already installed and skips that step if it finds it already there. This is useful for upgrades of just the jar file.
Having the local installation also solves the issue of the customer installing their own JRE which may be incompatible or contain bugs. This way your dealing with a known JRE version.
The excelsior route is OK if you don't have a graphical component to your application (It's been a while, that restriction may have changed). There are other restrictions as well, but you probably just better off just distributing a JRE with your code in a single executable installer.