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Also, linux doesn't care about file extensions. Typically an .exe file is going to be a windows file and is not going to run in linux.
Also, usually, after you untar there will be a README file in the new directory created by the untarring. That will give you some indication of where files are and how to run them, possibly.
With RPMs, say you install coolapp-1.2.3 with 'rpm -ivh coolapp-1.2.3', you could then find the directories by issuing this:
$ su -
(password)
# find / -name 'coolapp*'
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