windows self-extracting archive exe open on macbook pro

If it's a Windows application, it's not going to install nor run natively on a Mac. You'll need to ask the developer if they make a Mac version of that application. If they don't, then the only option you would have for running that app on your Mac would be with a virtualization system such as Parallels Desktop or if an emulation environment such as CrossOver would be able to run it.

Regards.

You might be able to using a third-party tool such as The Unarchiver. But if I may ask, why do you need to extract a Windows file on your Mac? If it's an application or driver installer of some sort, you won't be able use it on your Mac even if you extract it.

Regards.