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Not sure what the relation between .exe and direct-x is....
.exe is a Windows executable and--without help--will not run on Linux (Or any other non-Windows system).
In Linux, we have WINE, which attempts to re-create the Windows API on Linux. It works for some things and not others. CrossOver Office is a commercial port of WINE in which certain things are guaranteed to work.
go to the WINE and CrossOver (Codeweavers.com) sites to learn more about the speciic app you want to use.