There are thousands if not millions of links on here and google for simple Linux info, it just takes some research (get used to it
)
as for .exe Linux doens't support them natively, it's a windows binary, compiled for windows systems. You will need wine -
www.winehq.com.
what is it? MSN messenger? there are lots of other (read: much better) prgrams such as gaim, kopete that support multiple protocols