One problem may be that the executable is not linux native, i.e. it was created to run under windows (which typically names programs with a .exe ending). If it is a windows program, you can try to install it using Wine, which is a program that allows you to run some windows programs on linux with varying degrees of success or failure.
What distribution are you running? Are these video codecs you want to install? There are various places on the net that have codecs packaged for linux...