.exe mean "executable" and they are made for Microsoft Operating systems such as Windows-98, Windows-XP, Vista, Windows-7... and they are not free and open source.
But Linux Operating systems are normally free and open source. File systems of Linux and Windows are different and normally their softwares are not working on another platforms.
However there is a way to execute .exe files on Linux same as on Microsoft Platforms. There is a software on Linux called "Wine" and it can make a ".exe file executable platform" on Linux. After you install wine on your Linux OS, you can install lot of .exe files as you need.