EXE files are Windows executables that won't run on a Mac. Doesn't matter if its a compressed file that's been made an executable or a regular program.
If it's an .exe program that you can't live without since there is no Mac application version of it, you can try Wineskin to run the .exe program on your Mac.
Not to mention that THOUSANDS of Windows viruses hide in falsely marked .exe files ... not that they would affect my Mac, but you'd have to pay me some serious cash to just double-click on any .exe file willy-nilly ...
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