*.exe files are intended to be executed in a Windows environment. I would highly recommend trying to find a Linux alternative for the program you're trying to use. You can also check to see how your program works with Wine at http://appdb.winehq.org/.
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"Anybody who tells me I can't use a program because it's not open source, go suck on rms. I'm not interested. 99% of that I run tends to be open source, but that's _my_ choice, dammit." -- Linus Torvalds, 2004.