I'm going to assume you are new to the Macintosh:
A .exe file is an "executable" file for Windows (kind of like an Application in Mac OS, or Program in Windows) You can't open them on a Mac, period. If you are using a Windows emulator (Virtual PC) you can, since it is emulating (or running) Windows simulataneously with Mac OS. This is a seperate piece of software, and it slows the computer down significantly.
What exactly are you trying to do? There may be a Mac alternative.