Building single jar from multiple jars

Hello everybody
I'm a newbie in IntelliJ but i need to solve the following problem asap:

I need to deliver my application (made up of several .jars) as a single .exe file (i know it's not the smartest thing to do but i'm powerless over this decision).

Currently i'm using JSmooth to wrap the .jars in a single .exe but it won't execute if it's not in the same directory where the .jars are. This is not acceptable. I can only have 1 file and it must be .exe.

Since i've failed to embed all jars in a single .exe, i'm now trying to build a single .jar from IntelliJ.
Until now, i've been using 'Link via manifest and copy files to' option in the Packaging method' and '/name_of_jar' in Path Relative to Deployment Root for each jar in the Build Jars menu.

My question is: is there any way to build all my jars to a single file with IntelliJ or any other way?

I apologize if this isn't the appropriate place to post this question but any solution/tip would be really appreciated :(

Thks!