src/shell/jython.exe is the Windows Jython launcher. It is copied during the ant build to :file:dist/bin. However, it is derived from :file:src/shell/jython.py using PyInstaller by the following process.

You need a Python 2.7 environment to accomplish this.

If it is not already installed, install virtualenv with the command pip install virtualenv.

In any convenient working directory, create a Python 2.7 virtual environment, activate it, and install PyInstaller:

> virtualenv venv
New python executable in ... venv\Scripts\python.exe
Installing setuptools, pip, wheel...done.
> .\venv\Scripts\activate
(venv) > pip install "pyinstaller < 4"
Collecting pyinstaller
...
Installing collected packages: future, pefile, ...
Successfully installed ... pyinstaller-3.6

The above set-up need only be performed once for the virtual environment.

Copy src/shell/jython.py to this working directory. Use PyInstaller to create a single-file executable, and copy that back to :file:src/shell:

(venv) > copy <checkoutdir>\src\shell\jython.py .
(venv) > pyinstaller --onefile jython.py
...
(venv) > copy .\dist\jython.exe <checkoutdir>\src\shell

Above, <checkoutdir> stands for the root directory of the Jython source.

You could do all this in the source tree at src/shell, but the virtual environment and PyInstaller leave a lot of working material behind, so it is best done elsewhere.