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Not natively as the .exe binary format is native to Windows. The only way you can run an .exe is through some sort of emulation/virtualization software.
Darwine is a project that allows you to run some Windows applications on OSX. VMWare, Parallels and VirtualBox are VM solutions that allow you to run Windows as a 'guest' operating system under OSX.
My project needs to download some data from a SQL table through webservice.
Webservices are language independent so you have a variety of options for accomplishing this task.
what language can i use to develop on Mac J2SE , ASP.net....etc
You have a very wide variety of choices, your decision is largely influenced by what sort of application you want to write.
OSX native applications are typically written using a language called Objective-C. The XCode IDE is the primary development environment with a framework called Cocoa as one of the primary development APIs. XCode can be found on your OSX install disks, or downloaded from the Mac developer site. OSX provides API's for web service integration. A wealth of documentation can be found in the XCode documentation.
OSX provides a J2SE (Java) environment. OSX 10.5 (Leopard) natively provides Java 1.4 and Java 1.5 as well as Java 1.6 via an optional download. OSX 10.6 (Snow Leopard) provides Java 1.6 only, though you can download an older version of 1.5 if necessary. One of the main development IDE's for Java is
Eclipse which is open source.
OSX also allows for Python, Ruby, C, C++ etc. Again, you have quite a few options at your disposal.