I want to make a database application using MySQL and PHP. What will I use to create an application (in .exe format)? I only did a web application using php and mysql before...
PHP is an interpreted language. If you want to create a desktop application that compiles to an exe you'll have to look into another language (like C++). What exactly are you trying to accomplish?
Yes you can accomplish this in java through JDBC. Typically, however, Java is not compiled to an exe (though it is possible). Most likely you'll want to create an executable jar.