Are you trying to install a program or run an .exe file.
Since you say that you are so new to Linux, here is a little bit of information. MS program run with .exe file, but not Linux. If you are trying to install a Linux program, you can look for a .rpm file or a .tar.* file. The choice of one or the other is up to everyone's matter.
If you are trying to run a MS program, you will need to simulate a windows environment under Linux. You can do so with "wine" program. "Wine" will let you simulate a windows environment under Linux, but the execution might me slightly different then what you know it under MS. It might be a little slow or unstable, for example.
To install wine on your machine, you will need to find wine on the net at this address for example http://rpm.pbone.net/
Then from a terminal, like "xterm", being the super user (root), you will need to write
rpm -Uhv wine_version.rpm
The machine should take over the rest of the installation.
Once wine is installed, you can simulate a windows environment and run .exe file.
I hope my little explanation was clear enough.