Not to say that there's no harmful code that can be executed on a Mac, but .exe files are specific to Windows. In fact, .exe files will be looked at as a Unix executable if there's nothing else to run it (even though you really can't run them as such).
Actually, .exe (or.doc, .xls, or .anythingatall) are meaningless in the Mac environment. Windows uses the extension to determine the appropriate application, whereas the Mac uses Creator and Type, both embedded in the file, to determine the correct executable for a given document. They can read the extension for common filetypes so you're able to open Windows documents, but Mac-created ones don't require it, except when you're going to transport them to a Windows machine.
It's not freeware but if you really need to find a solution, check out Virtual PC from Microsoft, which would allow you to install a version of Windows and thereby run an .exe.
Edit... sorry, didn't realize it was an old thread, but this is still the only viable PPC emulation product that I'm aware of.
check out the screen shot! right now it is pre-alpha. you are able to download a build. ha i've tried this before. i played minesweeper! lol. give it a shot. it will allow you run .exe files right through wine's api.