Hey, although I'm now expert at programming I'm pretty sure this is neither possible nor a good idea. What were you after?
For starters I think internet explorer or any other good browser would notice and stop the .exe from running. But I have a feeling that only scripting languages designed specifically for the web will work eg, PHP, ASP, ASP.net, Perl, JavaScript, ActionScript etc!
.exe is usually a program that needs to be run, and usually must be run from the persons own computer, which means that they'd have to download it, and NO-ONE would download a random .exe from a website they were visiting!
Hope this helps a bit?