.exe on mac's

is there any program that open exe files for a mac?

no, .exe can't run on macs at all! (unless you get virtual PC)

There is a project currently underway called Darwine (http://darwine.opendarwin.org/) that is meant to do just that. It is basically a clone of WINE for Linux. I think, however, that it is still in the early stages of development and doesn't work well yet. You'll need to install X11.app off of your OS X DVD to run it.

It's not really just that OS X can't handle the file extensions so much as, until recently, they were designed to run on different types of processors. .exe files are designed for x86 processors, while Macs have, until just a month ago, been all PowerPC for the past ten years, which means it simply could not run those files without emulation.