find this answer hope this will help you: http://en.kioskea.net/forum/affich-24044-how-to-execute-exe-file-in-macbook

 

try WineBottler http://mac.appstorm.net/how-to/virtualization/run-windows-apps-on-your-mac-free-with-wine-bottler/

 

It all depends on the kind of exe file it is.

If it is a simply a self extracting zip file, you can often rename the .exe extension of the file name to .zip an double click on it.
Other times you can start /Applications/Utilities/Terminal, type unzip, drag the file into this window and then hit enter.

If it isn't a self extracting zip file, you have to use some Windows emulation type software like noted by tompatrick.
I would recommend Wineskin over Winebottler though. http://wineskin.urgesoftware.com/tiki-index.php

It's easier to use and the latest beta doesn't require X11 which is another piece of software you would have to install using Winebottler.