It sounds like you bought a physical box with a product key inside at a retail Apple Store, then went to a Microsoft site and downloaded the installer for Microsoft Office for Windows. The ".exe" is a giveaway that you downloaded the Windows installer (which is, itself, a Windows program).
What you need to do is to go to the Microsoft site and download the Macintosh installer – which according to this Microsoft Support document, probably has a name that ends in ".pkg". Run that installer ... then jump through the hoops to enter the product key and do DRM "activation". Then you should be all set.
If you have any further questions, I would suggest contacting Microsoft Support.
https://support.microsoft.com/en-us/office/download-and-install-or-reinstall-microsoft-365-or-office-2021-on-a-pc-or-mac-4414eaaf-0478-48be-9c42-23adc4716658