If you right click on the Mandriva Star you can edit your menu and add the program yourself manually. I assume that by exe you simply mean executable, and not .exe, the MS file extension for executable files. If you have a .exe file, you'll need WINE to run it, if you can run it at all. Otherwise, like was already said, just type the program name in the "run" box from the Star menu, or open up a console and run it from there, and if you need to add it to the menu, do like I said above.
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