Is this some sort of malware for OS X ?

No.

 

Sounds like some troll, make a website that continues to open windows and download exe files. Possibly could have done you damage on a pc. But no your computer should be fine. Just delete the exe files are they are simply doing nothing more than wasting space. And try not to go to that website again, there are many different porn sites out there.

 

Use an ad-blocker and check your DNS settings by reading: Why am I being redirected to other sites?. What you experienced was drive-by downloads of .exe files, which cannot run on or affect your Mac in any way.

You don't need any 3rd party antivirus app to keep your Mac malware-free. Macs are not immune to malware, but no true viruses exist in the wild that can run on Mac OS X, and there never have been any since it was released over 10 years ago. You cannot infect your Mac simply by visiting a website, unzipping a file, opening an email attachment or joining a network. The only malware in the wild that can affect Mac OS X is a handful of trojans, which cannot infect your Mac unless you actively install them, and they can be easily avoided with some basic education, common sense and care in what software you install. Also, Mac OS X Snow Leopard and Lion have anti-malware protection built in, further reducing the need for 3rd party antivirus apps.

Mac Virus/Malware FAQ​

 

I would make sure to also disable the "open safe files after downloading option" within the Preferences>General menus to insure that in the future automatically downloaded files down't open either way.

 

Safari was not hacked. You just need an ad-blocker like Safari AdBlock or GlimmerBlocker or JavaScript Blacklist. I use multiple. I also use ClickToFlash

1. Make sure your built-in Mac firewall is enabled in System Preferences > Security > Firewall
2. Uncheck "Enable Java" in Safari > Preferences > Security.
3. Uncheck "Open "safe" files after downloading" in Safari > Preferences > General
4. Be careful to only install software from trusted, reputable sites. Never install pirated software. If you're not sure about an app, ask in this forum before installing.
5. Never let someone else have physical access to install anything on your Mac.

That's all you need to do to keep your Mac completely free of any virus, trojan, spyware, keylogger, or other malware. You don't need any 3rd party software to keep your Mac secure.

 

The site you visited, or a popup window generated from a site you visited likely had a script that generated a drive-by download. It wasn't a bad (defective) script, but a bad (malicious) script. However, it was completely harmless to your Mac, since .exe files can't function on Mac OS X.

 

There are many annoying websites that will pop up additional windows for advertising, or pop up a dialog box that says "Are you sure you want to close this window?" when you try to leave the site. It's just annoying tactics to build traffic and keep you on their site. If you use decent adblockers and select the settings I recommended, you don't have to worry about it.