Once we write a program eg: a JFrame .. we can see it in a appletviewer or browser... But if you want to give that application to multiple users what should you do ? Should you just give the class file or should you somehow create a exe file and give them like in Visual Basic ?

Cut the startup of the application from the implementation of it. You probably have something like:

public class MyApplication implements JFrame {
  // ... application coding.

  public static void main(String args) {
    // .. startup code.
  }
}

What you really want is ....

public class MyApplicationFrame implements JFrame {
  // ... application coding.

  MyApplicationFrame() {
    // ... Startup code
  }
}

public class MyApplication {
  public static void main(String args) {
    MyApplicationFrame maf = new MyApplicationFrame();
  }
}

public class MyApplicationApplet extends JApplet {

  // ... A simple applet with a "start" button

  public void startGUI() {
     // ... Run when the start button is hit.
    MyApplicationFrame maf = new MyApplicationFrame();
  }
}

In this manner you can start your GUI from applet or application as you desire.