Windows exe file

I bought windows through Microsoft online and I have received an exe file.  I can't seem to open it on my iMac, I have downloaded the windows support files from boot camp but I still can't get anywhere.  What do I need to do?
Thanks,

Use a Windows PC and use the exe file to download a Windows ISO file. You can also put it on a USB2 flash disk.
To install Windows on a Mac start at How to install Windows using Boot Camp - Apple Support.

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