exe file not opening

You are trying to open a Windows application on a Mac, in Mac OS X.
Just like you can't open a program for Mac OS X using Windows, a Windows application does not run in Mac OS X.

So let's get back a few steps:
What application are you trying to use, or what do you need to use?

Maybe there is a version of the same application (or at least other applications that do what you want to get done) for Mac OS X.

If it's for some reason something that ONLY exists in Windows and has to be used for some proprietary software reason, then we can look for ways to open the Windows application too. Depending on what version of Windows it needs, it may run with Crossover. Otherwise you might need to consider Boot Camp, VMware Fusion or Parallels (all three of which need a separate Windows install disc) to get it to run. But before going that far, maybe and likely there is an easier way. So please tell what application are you trying to use, and/or what would you like to do with the application.
 
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