Are you sure those 'videos' are genuine?
They sound like viruses/malware to me: there's zero point zipping video files as they don't really compress any more and so-called missing CODECs are usually just a way of fooling you into installing viruses / malware.
.exe are windows executables, i.e. programs. You can create self extracting zip files as .exe but it's not a common distribution method for video files. It is a very easy way of getting you to install viruses/malware, though. Fortunately for you, you won't be able to run them on Android.