You cannot convert the .exe-file to a .rpm-file, unless you have the source code of the program (but the you do not have to convert), because: A .exe file contains code written for a windows system and this code is binary incompatible with any linux system.
If the .exe-file is a so-called self extracting zip-archive, it can be unpacked by the standard linux unzip command. If this is a native windows program, try http://www.winehq.org/
, to emulate the windows layer.
BtW: What is that .exe-file? rpm files are program packages but not programs under linux.