Executables (.exe) are a Windows format. Android is not based on Windows, so you cannot install a program with a ".exe" extension. In order to install an application on an Android phone, you can either do it automatically by getting the app from the Market, or - as Carl C said - download Android Package (.apk) files to install, though to do it this way you will probably want to have a file browser installed; Astro is a commonly used / good one.