No, I'm pretty sure that .exe is a program ending, which cannot be run by mac processors or something, but you cang et programs that can read it. You are thinking of .rar files or something, which is completely different, a whole different level of computer workings.
no. You're wrong, .exe isn't a compressed file. Its an executable file. Stuffit or rarexpander would work fine if it was a .rar or .zip. It might do stuff with .dmg or .iso too but not .exe. You can't run .exe on a mac unless you have an intel based mac and you're running windows or an emulation program.
your best bet is to run boot camp or parallels on an intel based mac. which mean you'd be able to run windows on it, but you're still succeptable to the usual windows problems even though you're on an apple machine so beware.