Program issues *run exe/ convert program/etc.?*

Ok... I've been trying for the past few hours, all over the web on my own, and now admit I need help...
I have a Palm Treo Pro 850(sprint). I am trying to get an exe(since it's WinMO) to run on it with no luck. The program in particular is Virtual Boy, a game boy advance emulator.
Question: How does one get exe's to work on this particular phone, or convert it? Been bugging me for about four hours now...

Generally speaking, applications for Windows Mobile are distributed as .cab files which the phone then installs. Is your EXE available in that form?

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