there's no direct equivalent to ".exe" files on linux... whether a file is executable or not in linux depends exclusively on the permissions the file has set onto it, not the extension... having said that, since you're asking about ".exe" (which is comminly used to install and run software) the standard linux software package format is RPM, the extension being ".rpm"... there's also things like shell scripts, which
usually use the extension ".sh", and perl scripts, which
usually use ".pl", etc... those are all typical executables... after you install a package with RPM then it's a matter of executing the program - no matter what extension the program has, if it's executable, you can execute it by using a dot and a slash (for example), like so:
BTW, an .rpm file doesn't need to be executable AFAIK...
