launching application in Windows without DOS command window

Is there an easy way to launch a Java Swing application in Windows 2000 
without opening a DOS command window?

I know that I can make a .bat file containing "java ClassName" and then 
double click on the file name, or create a shortcut to the .bat file, 
but that always seems to open the command window which stays open as 
long as the application is running.

My Googling has found Java Web Start, a lot about Java Web Start.  I've 
started looking at that and it looks like probably it would be easier to 
learn to use Java Web Start for my "hello world" application than it 
would be to get a Masters degree.

But I still imagine that it can be easy.  I am not concerned about 
security.  I am not loading anything over the net.  I just want to start 
my local application with no more hassle than starting Notepad.

Can I create a Windows shortcut that says something like
java -classpath path1;path2 MyClass
to the Windows OS, without opening a command window?

Thanks,
Rich Hammer