First of all there are no exe files for Linux. Secondly the equivalent for exe is still binary files and all you get from that is low-level assembly code. If you want to change the code for any given application you need to download the source code, which is cpp, c, h, py-files or something else. Depending on the language used.
If you want to open these files you can use any text editor (graphical or not), for example gedit, kate, vim, emacs, etc.
If you want to program and create your own GUI you should check out GTK or GTK+ if you are developing for Gnome (which is standard in Ubuntu).