Are you getting some thing like this "Choose the program you want to use to open this file" when trying to open an .exe file.
This problem occurs if the .exe file association in the registry is corrupt. This behavior is generally caused by viruses.
Given below are the steps to correct the registry entry.
Click Start, Run and type regedit.exe (To open registry editor)
If Registry Editor opens successfully, then navigate to the following key:
HKEY_CLASSES_ROOT \ exefile \ shell \ open \ command
Double-click the (Default) value in the right pane
Delete the current value data, and then type:
In the right-pane, set (default) to exefile
Exit the Registry Editor.
Now try to open an .exe file. guess it helps..:-)