You cannot open .exe files. I am thinking that you are new to Mac. I had the same problem too when I switched to a mac. So then, exe means executable, and you can't use it for mac. dmg files are for mac, and not for windows..
The only way you can use .exe files on a mac, if you installed boot camp, and it is supposed to be pre-installed onto your laptop if your running leopard. When you install Boot camp, be sure to have as much space as possible for the windows part, because a lot of people use more stuff on windows, and you can run either windows, or windows vista. You can choose I suppose.