I have a MacBook Pro 13-inch, 2017, I have a .exe file that I can not download can you help me

There’s no direct means to run a Microsoft Windows executable in macOS. Your options are to install Microsoft Windows using Boot Camp (on Intel Macs only, not an option on Apple silicon Macs with M1 processors), or maybe running the app via the CodeWeavers CrossOver app, or running Windows as a guest on another server somewhere. Or finding an alternative to this particular Windows app, of course.

A .exe file is a Windows executable file. It is of no use on your Mac and it won't run on a Mac.