It\'s an exe program, it should run on it\'s own as long as you havn\'t (for some very, very strange reason) renamed the file and removed it\'s \".exe\" extension.
Either that, or you have a particularly bad virus that I encountered quite some time ago... in which case, you need to run a virus scan pronto.
If all exe programs are doing this, a temporary fix is to change the extension from .exe to .com which are basically the same thing.