You can't actually open an .exe in the Mac environment. You'll need a program such as boot camp or parallels to run a Windows based OS, which you will also need to buy.
I thought that there was a program called "crossover" that lets you run SOME windows based stuff on a mac, i'll have to ask my friend about it, for more info
Boot camp doesn' do anything on it's own, you will have to buy a copy of a windows OS too. You could find some good academic discounts on Windows Vista, I can get a copy for free through the Microsoft Academic Alliance. (or something)