Commercially, the only viable product to open windows programs is Virtual PC. There are a few free open-source projects that seek to replace VPC, but they aren't quite there yet.
Often, however, you can find Mac(aqua/classic)/UNIX(x11) versions of programs. VPC, as an emulator, is slow, so you'll probably find that it is best to find a native way of doing things.
As others have mentioned, .exe files can be self-extracting .zip files. These can be handled without VPC.