.exe will not run natively on Linux.
There is an implementation of the Windows API structure called 'wine' (a recursvie acronym for 'WINE IS NOT an EMULATOR).
It's a basic enough program but it's all command line configuration. There are commercial products base on wine such as CodeWeaver's CrossOver Office which is an excellent graphical interface for installing a ton of windows apps, such as Microsoft Office, Macromedia products, etc..
There is also a program called 'Cedega' for games, which implements a DirectX layer to allow you to play such games...
There is a ton of documentation online for it.. but check out Frank's Corner for Wine tips and winehq.org for the wine application and programs known to work with it.. good luck!