Code:
$WshShell = new COM("WScript.Shell");
$oExec = $WshShell->Run("notepad.exe", 7, false);
This command is to run the code server side, not when the user clicks.
When the user clicks a link there is no php code being executed on the users machine (most won't have it installed), therefore the above will not do what he wants.
Most browsers are pretty edgy about executing .exe code from a page, it'd be such any easy way to spread viruses etc.
Each browser will display a slightly different message when you click a .exe, but personally I wouldn't use a browser that just ran code without telling me.
Look at sites like Microsoft etc. they all include instructions when you have to download an executable.