How to create a single .exe file?

This next is not a solution to your problem but hopefully one step closer to your endeavor.

Related to this question, you need to become familiar with the export operation in Processing. Your pde file is converted to a java file. If you export the file, you will find a folder than contains the executable of your pde, as you have describe in your first post. In that same folder, you can find a source folder which contains your pde file converted to java. By the way, this folder also has a copy of your pde file. Now, it is inside this java file that you find your main. If you have multiple pde files, then Processing will merge them together under the main pde (that file that has the same name as the root folder of the sketch). For the name of the class, it is the name of your pde file. As a matter of fact, if you open this java file that I am talking about, it will become clear what class contains the main function.

By the way, what OS are you working on?

Good luck!

Kf