Not all .EXE files are a problem. The only time they are a problem is when they contain viruses or other malicious code (trojans, backdoor programs, etc.). And for that, you can make sure you're protected rather easily. Just go download and install a virus scanner and scan that file before you run it (if you don't already have a virus scanner installed). A couple of good scanners are McAfee Virus Scan or Norton Anti-Virus.