Yes, LW will not open .exe files (as a very common example) for exactly the reason it states: it is advisable that you scan such files first with an antivirus app, spyware/adware app, etc, etc...
To open them, go to your shared folder in your HD.
Avoid opening files from the Library: it can slow down LW.

__________________
iMac G4 OSX 10.3.9
RAM 256MB
LW 4.10.5 Basic
ADSL anything from 3 to 8Mbps/around 1024kbps

"Raise your can of Beer on high
And seal your fate forever
Our best years have passed us by
The Golden Age Of Leather"
-Blue Öyster Cult-