It won't work if it's an .exe file, they're Windows binaries.
However if you have a .bin or something, you should be able to add it on start up by going into System Preferences > Accounts > Click on the Login Items tab and press the plus sign, then navigate to the executable.
sorry for the confusion, its not exe file, its a unix executable file, so this executable file has a parameter to set, so what i want to do something like a batch file in windows but for osx and let it run at the startup.