The main attributes for the Manifest file include Main-Class : where you can specify the entry class for the jar file.
But still this is not like exe because it is just the zipped classes and it is platform independent.
Normally, when you installed a JRE on a machine, it adds a filetype "jar" associated with java.exe. With that association, when you double click on a jar file, it is run by JRE. (If Main-Class attribute set correctly as goldhouse stated.)