.exe means execute and isn't a mediafile. It's a program and probably not anything you want on your computer.

If you aren't sure what you are downloading, I suggest always do a virus/malware scan before trying to open a file.

I would try and stick to mediafiles on the gnutella network.

Use Bitziweb lookup before downloading

videofiles are useally mpeg mpg avi etc.
fileformat like wmv mov asf more often than not aren't what they say they are

audiofiles are useally mp3 mp2 wma etc.

hope this answers your question