Nope, it hasn't worked before, because .exe files don't run on Macs any more than Mac apps run on Windows. I'm guessing you have installed OpenOffice before and just downloaded the installer again, but got the wrong one. If you didn't download it on a Mac, it would have auto-detected that you were using Windows and downloaded the Windows version. Either download it on a Mac, or use this page to download:
http://download.openoffice.org/other.html