tmp files are temporary files used by word... They are where you file is temporarly saved. And usually deleted right after the file is saved.
exe file is a windows executable....... a windows program. You can not run them in a mac easily (as OS X is a different operating system).
1)You can install windows through bootcamp (where you can select which OS to start up with),
2)or a Parallels/vmware install of windows (this lets windows run along side OSX.. slower as it shares resources).
3)Darwine, this allows you to run windows programs.. This is usually not very fast, and doesnt always work.. Depending on your skill level could also be difficult to set up.