Often, but not always, you can use StuffIt Expander, which came with OS X. You can drop the Exe file on it, and see if it works - it depends on what method was used to create the self-extracting Exe in the first place.
Sounds like that's all you get on a mac. Does this .exe have something you can even use on a Mac? I get some .exe that will expand with unstuffit, but leaves you nothing that a Mac can use. This one might just be code only, and has to have a PC (or Virt PC?)... find a PC to run it on. Might find it's just a virus!?
Actually, SOME .exec files are the equivalent of a .sea file on a Mac - self extracting .zip files. If you know for definite that the .exe file you are dealing with is just a .zip file in disguise, then you can simply rename it a .zip, and Stuffit Expander should unzip it fine. I've done it a few times.