You cannot run .exe files in Linux. They are a Windows contraption.
In the main, you don't download programs to run in Linux unless they have been written for Linux and you are prepared to compile them. In the main, that is not a good idea for Linux novices.
Either you have downloaded the wrong file, or just maybe, the vendors believe you can run it in "wine".
Your best bet, is to go to your package manager and install any extra programs you want from there. Look for "Pirut", open it and select the programs you want from within.
Welcome to Linux (and I mean that). Once you get the hang of it, you've got a system that in terms of security, leaves Windows in the cold. But you need to stop thinking like a Windows user and spend a little time leaning how to use Linux.
click here for something I wrote this past week, in a small attempt to start you off. There's also lots of other stuff on the site for novices, some of it written by me and some by others in my local Linux Users Group (LUG).
Incidentally, if anyone lives locally, we'd be delighted to see you and try and help with any problems you may have, as there's likely to be more Linux users after this Christmas.
You would also be well advised to read this click here which is specific to your distribution (distro).
Hope this helps and good luck.