The only way is to emulate an x86 system on your mac (i.e. with VirtualPC) and run msn on a winxp installation. There is no native macosx program that will be able to deal with msn video yet.
in a word, no, not really. if both of you have AIM accounts, then you can use iChat AV which is the industries best and easiest web-camming. other'nat no.
also, an .exe file is a windows application. it has abosultly no use in macos, and will not open. only under emulation (Virtual POC as mentioned above), where you have a copy of windows running inside macos, will that be possible.
If you insist on using msn, you can use webcam from your mac on msn via Mercury, but its a slow java application with low framerate and quality. Nothing near the quality you'll get from the ichat to aim solution.