It has to do with the associations of application and file extensions. If you right click on the .exe file, open properties, and then click on the tool icon, you will get a form that shows what applications are associated with that extension. You can change, or move them up/down to change the default. So, the system thinks .exe is another name for .zip... :-). A Windows exe file may run in the Wine environment, but you need to make sure you have Wine installed. Then you may be able to run it as an application in Linux.
rubberman
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