.EXE Files Cant Be Opened. Please Help

My ExE Files cant be opened! It says there isn't any application to open the exe files. Anybody help?

If a file has the suffix '.exe', it is very likely a program written for the Microsoft MS-DOS or Microsoft Windows operating systems. The suffix '.exe' is used as a mnemonic for 'executable file'.
Software for one operating system generally don't operate in other operating systems. This is because of fundamental differences in the features and mechanisms available to programs to get them to work.
That isn't to say that you cannot obtain software for the Mac OS X operating system that will permit you to run this software. There are at least 5 different solutions available to users of Macs with Intel-branded processors: Boot Camp, Parallels, VMWare Fusion, CrossOver Mac, and WINE.
The first three require a licensed version of Microsoft Windows XP (a couple also support Vista) operating system, and the last two do not. Boot Camp permits you to divide your hard disk into a Windows section, and a Mac OS X section, then install Windows. When you turn on the computer, you are presented with a menu asking which operating system you want to use -- but you can use only one at a time.
Parallels and VMWare fusion are virtual machines. They are software applications that create a second computer completely within the application into which you can install another operating system like Windows. It has the advantage that it runs in Mac OS X and you can basically use both operating systems at the same time. The cost is a modest performance hit, and the fact that the application necessarily uses quite a bit of memory -- leaving less for other applications. Parallels has a slick feature that hides the Windows desktop, allowing the Windows application to appear just like it were a Mac app.
The free and open source WINE, and it's commercial off-shoot, CrossOver Mac, use a third approach. They provide utilities that will translate between the Windows application's instructions (system calls) and those of the Mac OS X operating system (WINE also works on other UNIX and UNIX-like operating systems). An program run this way is more or less running as a Mac program and performance is exceptionally good. The caveat is that not all of the features and resources of the Windows operating system are equally well developed and some programs will exhibit bugs, and others may not run at all with this method.

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