Of course, the .exe could also be a self-executable compressed file like some game addon/mods for many PC-centric (but not only, like Quake 2)games.
And some are pointless, silly little programs. Not even worth the effort of double-clicking on them.
Or a virus. Whee.
And some are legitimate applications, which won't work without some serious gymnastics o your Mac's part.
Doc Fish -- who thinks the internet is not all it smokes crack to be.