Exe files: help to open

I have (had) an exe file on desktop that i tried to open with Vista / Fusion / Bootcamp with no success. Then tried another approach following these instructions:
Directions for Use
* If the .exe file did not download to your desktop, move it there.
* Go to the Utilities folder on your Mac.
* Open Terminal. Verify that you're at the root of your computer.
* Type cd Desktop and press Return.
* Type unzip filename.exe, where "filename" is the name of the downloaded file. Press Return.
* Once Terminal is done inflating the file(s) to the desktop, quit Terminal.
* Open the new file with the appropriate application.
Didn't work: terminal told me it couldn't find it or something similar. I closed terminal and now there is an image of the document on desk top but no name or discription.
Any suggestion on what to do?
And was this the correct way to open exe?
thanks for any help!!!

I'm not sure what this question has to do with Apple's Software Update for Windows...a software package for Windows designed to update Apple products that run on Windows, but if .exe files can only be opened in Windows. So if you're having issues with a file I suggest you contact the author of the file or post your question on an Windows discussion forum, as what you're seeing has really nothing to do with Macs.

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