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Unless it's something I'm unfamiliar with, a wallpaper should be an image file. If it's a .exe file, you might have a virus on your hands posing as a wallpaper.
 
only if you are running windows.

And I strongly recommend against downloading any EXE unless it is an installer from a reputable source.
 
Well, it could be a self-extracting compressed file or files, which would account for the .exe.

But as other said, .exe is a Windows only executable. And it' could a .scr file, which only works on Windows (IIRC).

Macs require a ".saver" file.
 
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