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This is in the wrong section, it should have been posted in the Computers & IT section. I have sent a report requesting it be moved.
As for the answer to your question, .exe files cannot run on Android, they are not supported by Linux or to my knowledge any mobile operating system. It also cannot run on your computer on its own as it would need some method of executing itself, so unless you ran the file yourself, your computer should not be infected.
Indeed I do. For a free one I like Estrong's, and for a paid one many people like Root Explorer.
You can also find and delete the file with your computer (it's probably easier and faster). Simply connect the phone to your computer, then use your computer's search feature to search the phone's storage and filter the search for only .exe files. It should find the file in question as well as any others that might have made the trip. simply delete them and make sure to empty the trash and the files will be off your phone.do you mean like a file manager app?