Keep It Legal Kids
I think the only way to do that would be to wrap the .exe file with a mpeg file, and it pretty uncommon. At least that's what I've heard as well.
Don't forget that the applications themselves can cause problems with all the "free" stuff they install. Some of my younger cousins used to use all these Kazaa and Limewire style apps in Windows and they're computers turned into a joke. The amount of times I was called over to remove crap (especially random popups) was ridiculous and some of which couldn't be removed without completely reinstalling Windows. Not to mention the effects of some dodgy "music" files.
Thankfully they've learned their lesson now but they learned it the hard way.
I agree with what some people have already said about illegally downloading music / films / software. A lot of people nowadays think that pirating music is somehow "cool" and "okay" cos everyone else they know does it. It isn't cool to take a product or service, that someone's taken time and effort to create, without paying for it. Anyone who does so should give up their wage at the place they work and see how it feels.
Not only that but people who DO pay for these products legally are essentially subsidising those who don't. </Rant>