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I can't answer the first one as I'm not familiar with Fedora.
Linux isn't like Windows in that .exe files are executable, but rather any file can be set as executable with the chmod command. If you're talking about running a Windows .exe file, that can't be run directly in Linux and you'll need a program like wine. If you're talking about simply executing a file in Linux, cd to the directory where the program is and type
Or, if the program is in your path (type echo $PATH to find out), you can just type the program name itself without the "./"
When you ran the installer, you selected options for what to install. Those other CDs have more software on them that simply wasn't selected. They may also have documentation of other, less frequently needed packages.
Assuming you mean you want to run a .exe from windows-based software, the short answer to your question is: you can't. Windows programs will not run natively on Linux.
The long answer: You can download some software called "wine" and install it. Wine allows you to run some Windows programs in Linux. Check you CDs to see if Wine is included. It may be as simple as using Fedora's equivalent to "Add/Remove Programs" (located in the System Settings menu for my system). Otherwise, you'll need to download and install the software, and that can be an adventure of its own.
You install rpm files with (you guessed it) the rpm command.
* side note: if you ever need information regarding a command, type man command_name at the console (for example: man rpm, or even man man)
In short, to install wine from the package, issue this command: rpm -i filename.rpm
You might be interested in some of the options listed in the man pages, possibly "--test".
Now you'll have to configure the wine setup. You'll definitely need to do some reading for that. I don't use wine, so I can't offer much help in that department. There is plenty of documentation at the Wine webpage from earlier, and a number of wine-configuration threads on the forum to search for if you run into problems.
And I don't know what you're trying to do, but I'd suggest looking around for a Linux program that will do the same thing as the Windows one you're trying to run. Other than games, there really is a good (or better) equivalent for most anything you'd want to do, and it's much easier to install a Linux program than go through headaches trying to get it to work under wine.