Actually, the reason why you don't see compilers
for Java is that the language is not yet
stable.By the time somebody creates a Java Windows
compiler, a new version  pops out of the hopper at Sun. It
takes a lot of time and testing to get one done
correctly, so it is just not yet economically profitable.
You can find some compilers around, but if you look
closely, you'll see they are mostly based upon one of the
older JRE's.In one benchmark comparison at
JavaOne, a presenter showed that compiled  C++ code ran 6
times faster over Java 1.2 for the simple stuff. As
more complex operations were invoked, C++ was running
at many multiples faster. The JIT compilers have
reduced some of the apparent slowness of Java when
multiple passes through the same code are
considered.If you really need the speed, you might consider
writing your stuff in Java and then running a Java to C++
converter. It's a lot of steps to go through,
though.