Well I wanted to figure out how the new JavaFX native packaging worked, so with a little work, I have written up my findings.
Create a Windows Native Installer and EXE with JavaFX and NetBeans 7.2
All the information is in the articles I have linked to at the end of the page. However, I hopefully have pulled together all the key facts in one place. In addition, I tried to document all the problems I ran into in the troubleshooting section.
So what is the end result? With everything installed, building an application in NetBeans creates an EXE installer, an MSI installer, and an EXE file to execute your application. Really slick professional stuff. This is a great addition to the whole Java platform.