exe file

You don't unless you are running XP or vista on an Intel based mac. .exe files are PC only applications, 'Self Extracting Archive'.
 
Or more specifically, .exe files are executables for Windows operating systems. My PC running Slackware Linux (or any PC running GNU/Linux or any non-Microsoft OS) won't run .exe files either. ;)
 
How can I open exe file using Mac OS X v 10.4.11
There are three kinds of .exe file files that you are likely to encounter. All are Windows executable files:
  1. A standard Windows application file.
  2. A self-extracting archive, i.e. a .zip file that unzips itself.
  3. Windows malware.
Judging by this list, you see that it is important that you explain where your file came from. If it is an application file, then you need to ditch it in favor of a Mac equivalent application. If a friend sent you a self-extracting archive, then there are Mac utilities that will extract the archive. Among these are Stuffit Expander. MacOS X's built-in unzipping facility may do the trick, but I am not sure. If a friend or colleague sent the file to you, then you should explain to him/her that this is bad practice. Request plain .zip instead. If the file is Windows malware, then you don't need to extract its contents. Just delete it.
 
By running it in something that runs Windows or its applications.
So the options are

1. Crossover
2. Boot Camp + Windows
3. Fusion + Windows
4. Parallels + Windows
5. Sun VirtualBox + Windows
6. You look at what this script does and search for a program that does the same on Mac OS X side
7. Or if there is no such program and it's a simple script, rewrite it yourself in AppleScript or something more universal like Perl.
 
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