You can not convert an .exe.
It seems that you want to post a sample of your application (how it works) on youtube, is this correct?
If so, use a screen capturer application that will take a "video" of your application in work. You will then have the option to save this video as .avi or .flv.
The best app I use will be SnagIt 7 and up, which comes with a free trial version. You can download a free, but older version of SnagIt. I think up to version 6 is for free.
You can find SnagIt HERE .
AndreRet
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