how to run .exe file

If you have an Intel Mac, you could use Boot Camp (but that's overkill for a single application).

There are 'emulators', or virtual machines, that can run Windows (Parallels is one option), but they're often expensive and slow. It really depends on how badly you need to run that executable.

You don't because that's most likely a Windows executable, and it needs Windows to run.

You're welcome.