How does one setup cgi-bin on a per dir basis?
You don’t need a CGI-bin. Any file with an extension of .pl or .cgi will be excuted as if it was inside a CGI-bin directory.
I need to execute a file .exe within my hosting.
I need to change something in the configuration to be able to do it?
Nop, there’s no way to excute an exe file here. First major problem is exe files are files for running on windows machines, they don’t particularly have anything to do with web-hosting (on linux servers, or windows). Perhaps this is a program you’re supposed to install on your own computer, and then use some sort of functionality for it for your website?