.exe files: How do I open them?

Lately I had some downloads coming in with the extension .exe
I cannot find any appliaction on my computer that is capable of opening them.
Any help would be appreciated.
PP

They'll open in Stuffit only if the .exe is a self expanding Stuffit or Zip archive. To create either, you make your Stuffit or Zip file normally and then run it through another utility. That utility attaches a small tag of executable code to the archive. When you double click it, the program tag then extracts the data from the archive it's attached to. Stuffit can recognize these types of self extracting archives and open them without having to run it as a program.
If it's any other normal type of .exe file. That is, a Windows application, then no, you can't do anything with it in OS X. You'll have to have Windows running in some way in order to use them.

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