You can't run Windows programs (.exe's) under Linux without an emulator like WINE. I don't know if you can use an emulator for a screensaver or not, but it would make more sense to use a screensaver that's native to Linux... and there's a lot of them probably packaged with your distro... go to change your screensaver (Gnome menu->Desktop preferences->Advanced->Screensaver under Gnome, not sure on other desktops) and you'll probably have plenty of options.
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