Installing an .exe file on my MacBook

While there is no current way to convert a Windows executable into a Mac app, depending on requirements for the executable there a are a few options to get it to run.

1. Installing Windows on your Mac: Install Windows 10 on your Mac with Boot Camp Assistant - Apple Support
2. Using Wine / WineBottler to run Windows Applications: Run Windows-based programs on Mac with WineBottler - Winebottler.kronenberg.org

While its always better to actually run Windows for windows apps, Winebottler can handle many things and is technically free.

But depending on the type of Application you are going to be running wether you can do so on WineBottler or even CrossOver or will require a full Windows install.

Use Windows or a program such as CrossOver Mac to open it. Actual conversion can only be done by its creator.

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None. To run a Windows program install Windows.

BTW, exactly what is the .exe file?