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.exe files are generally windows applications for which you need windows to run them, occasionally they are self extracting Winzip or WinRar compressed archives.

If it's a windows app you will need windows one way or another, either through a virtual machine (VPC, VMWare, Parallels etc), or bootcamp.

If it's a self extracting archive you *might* be able to open it with something like UnRarX.
 
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