.exe is the File Extension for an Executable.
Think of an executable or .exe file like your car.
It has to be delivered to you (like a file has to be emailed to you)
Or you have to pick it up from the dealer (like a USB stick at a conference, or a link to a website)
If you don’t turn the key, push the button or swipe your fob against the door your car won’t run (like Microsoft Office won’t load files unless you install the office word software and a website isn’t viewable unless you the URL to load it)
Once it’s running you can then drive the car, reverse and travelling around achieving things (like you can create or load and edit a word document).
.exe is like turning the key to start your car. A file may be named office2013.exe. That means that file will try to install and Run a software program called office2013 on your machine (this is like activating the ignition in your car, you start it running). The problem occurs when you install and Run a program you don’t want to run on your machine like a Virus. For example, .docx is the file extension for Microsoft Office’s Word document files. You may receive and open a file that looks like redundancies.docx, thinking it is a legitimate file from someone you trust. However, the malicious .exe file extension may have been hidden from view or embedded in the spreadsheet. This is an example of a Trojan.
Adapted from Ernst (2013)