I know of wine, but I didn't mention it because I didn't consider it "native" support for exe files. It's also not available by default on DH servers.
I will concede that you're right, a file named with a .exe extension can be run in *nix. However with the exe extension being the defacto standard for windows programs you'll be hard pressed to find many programs that will actually do anything when executed from a *nix shell. Even the small program notepad from windows XP returns "-bash: ./notepad.exe: cannot execute binary file"
It's quite true that *nix systems don't rely as heavily on extensions as windows does. It's a easy process to use .sex instead of .php for your web files, but that has nothing to do with the type of coding in that file.
So as a general rule for the OP, if you find a exe file it's not going to work on your *nix server. When looking for things you can use/run on your DH server you'll need to find things that are specifically set up to run in a Linux environment.
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