According to your description, I could not tell exact the problem. There are 2 points to care about:
The ClassLoader, if the converted exe file is generated with encryption option enabled, the classes and reources are loaded through 'Jar2ExeClassLoader', the URL is not begin with 'file:' nor 'jar:', but 'j2e:'. If your program try to parse the URL, the URL may be unknown to your rogram.
If you need to know the real path of converted exe when running, please use 'System.getProperty("application.home")'.
According to your description, I could not tell exact the problem. There are 2 points to care about: