It is a general convention that any files ending at .exe is executable files (binary files- you can not see what is inside them, try opening them with text pad), that mean they "do something to your core computer system" (i.e. execution occurs). Exe files are for windows systems only, they dont run on LINUX/UNIX.

in windows, you can double click on .exe files to run it. Remember, if the file is malicious (virus), it can damage your computer. To run .exe file, double click it with mouce. It will next take you to what you need to do..

Strickly speaking, extention does not matter for any operating system. It is for user's convenience only (to identify file type). Extention is not a must for that file to work, that is what the case in LINUX environment.. If you did not understand what I meant, you can RENAME any image file to .exe extention (i.e. image.jpg >>> image.exe), and try opening with any photo editor. It still works. In fact, it is a good way to disguise the files..  to avoid your friends surfing your private files and pictures, just save pics / documents with new extention like .exe or so.. ;-)