.exe files

I'm a complete newbie to stuff like this and was wondering if anyone could help me here. I've got a program which is a .exe file and won't obviously load on my Mac, but I have no clue how to open it. I tried using crossover but it doesn't work, didn't really think it would considering its not a installation file, just a program.

So basically does anyone know how I can open this program without having to install Windows on my Mac? Or is there a way to open it using crossover?

Thanks