EXE are executable files for Windows based computers, just like Eric and plasmacutter told you.
I love Macintosh because all of the viruses in the world are EXE! And they cannot be opened on Mac!
Yesterday someone sent me a file called: dirtypictures.exe and coudnt open, and I wouldnt open neither, because I knew it was a virus.... I was like laughing my ass off for those who waste their time trying to send me Virus Spam mail to Macintosh users... lol....LMAO... I know there was some viruses for Mac OS 9 before, but we are talking about running Mac OS X here, right.
Anyway, You can always install BootCamp---> http://www.apple.com/macosx/bootcamp
Be sure of following the instructions of how to install it propertly on your Macintosh, and remember that it must be Windows Xp Service Pack 2