IMO, if conversion rates are a concern, the need to download a separate runtime first makes Java, newer versions of .NET, etc non-starters. Note that Adobe AIR doesn't require this anymore:
http://www.adobe.com/devnet/air/articles/air3-install-and-de...If you're providing a useful tool to already-committed users of your website, this might not be an issue.
If slightly non-native looks aren't a concern, go with whatever's easiest. I'd choose Qt/C++, but I'm already comfortable with them. py2exe/py2app are probably reasonable if you know Python.
Consider outsourcing this if you can. The details will occupy a lot of your time. For instance: you ideally want both a standard Windows installer (put together with something like NSIS), and to sign your installer + installed executable to avoid Windows warning your users that it's probably malware. That's a day's work for someone who has done it before, probably a week for you to do it the first time.
EDIT: that said, if you do outsource, beware that most contractors will be blind to their preferred environment's sore spots. Java+Swing devs don't account for Swing apps looking like ass, .NET devs don't care that needing to find, download and install the Microsoft .NET 4.5 Runtime Environment pisses your users off and hurts conversion rates, etc.
EDIT 2: test, test, and test some more. Just because your app runs fine on Windows XP doesn't mean it will work fine on Windows 7 64-bit, and vice versa. If you're eligible (most startups are), it's worth signing up to Microsoft BizSpark just to get access to ISOs of every Windows version from XP up from MSDN.