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Assuming that you mean a Windows executable, then you have to use something like WINE or CrossOver. Depending on what distro you are using, WINE will probably be available using your package manager. CrossOver is a paid product, but they have a free trial available.
You don't. EXE files are for Windows. Some can be run under Wine, but some can't. This has been covered on this site many times in the past...give a quick search for it.
If you provided some actual details, like WHAT you're trying to run, etc., maybe we can tell you more.
Wine usually works well, and the documentation is good, but make sure you really need that Windows software: the Wiki on this site has a section on finding Linux equivalents to common Windows programs.
I am not sure I'd say wine usually works well (might be my program choices) but I totally agree that there may be an actual linux program to suite what you need. That would be a good place to start.
Also there is dosbox that may work.
Consider too that you may be able to run a virtual machine within the linux of a ms product to use this app.
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