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What exactly is your question? File extensions don't "work". You can't run Windows executables under Linux natively, but you may be able to run them with WINE. Edit: you're better off trying to find native Linux software that serves the same purpose as whatever you want to use.
In other words, extensions are meaningless to linux. Contents is what matters. The extension is just part of the name, and it's there just for convenience so we have a label to look at, but a .jpg file could contain an avi video without any problem.
Windows .exe files are windows programs. And linux is incompatible with them at binary levels. In other words, if you want to run windows software in linux, you need to use some kind of emulation, translation or virtualization. Wine is a program that allows many windows stuff to run in linux. It's not exactly an emulator, but I won't bore you with technicalities, so, you can consider it as one for the purpose of this thread.