"compile with" is virtually impossible because the compiled executables address incompatible targets (Java runs on a virtual machine to be platform independent, C++ not).
Some interoperability is possible via the Java Native Interface that will allow you to invoke DLLs written in C++ or conversely.
http://download.oracle.com/javase/1.5.0/docs/guide/jni/index.html[
^]. Be ready to swallow technicalities, though.
Another option could be to mix C++.NET code with J#.NET code (both running on the .NET framework), even though J# is not pure Java.
If one of your source file is not too big, consider rewriting in the other language, this may be a faster solution.