Linux doesn't use .exe files. Mandrake using something called rpms which are really easy to install. You should have mozilla installed already. Go into the start menu, networking, and www.
Or if it isn't there go to the start menu, configuration, and install software and then search for mozilla. To install mozilla first go into a program like konsole or a terminal. If you downloaded it to your home directory you can type dir and see where it is. It should end with .tar.gz. Just type tar -zxvf filename.tar.gz. It will uncompress. Do dir again and go into the new directory with cd filename , same name just no .tar.gz. type su and enter your root password and then type ./install. There you go. To run just find run program on the start menu and type mozilla.