Totally Confused with java.exe

java.exe is neither a JVM nor an interpreter. It is a launcher - a small program typically written in C which does the following:

1. Locates an installed JRE
2. Loads JVM dynamic library (jvm.dll)
3. Creates a new Java Virtual Machine using the Invocation API
4. Finds the main class and calls the main() method using JNI

JRE roughly consists of

1. JVM - jvm.dll
2. Class Library - rt.jar
3. Native libraries - the layer between the class library and the OS platform, e.g. java.dll, net.dll, nio.dll, awt.dll etc.
4. Resources - fonts, properties, strings etc.

Now, the Bytecode Interpreter, the Bytecode Verifier, the Class Loader, the JIT compiler, the Garbage Collector and many other cool stuff - are all parts of the Java Virtual Machine.