I want to run .exe file in my macbook pro

To run Windows-based applications, you have a number of choices:

1. Install Windows under Boot Camp.

   Boot Camp Support - Apple Support

2. Create a virtual Windows machine using a Virtual Machine (VM) application, like Parallels Desktop for Mac or VMware Fusion for Mac.
3. Use Wine or something similar if you just need to run a single app.

An .exe is an executable file for Windows so won't work on the Mac.

The fastest/easiest chance you have is to install Windows on your Mac (in a separate partition!) with BootCamp: Boot Camp - Apple Support or use an emulator like VirtualBox Oracle VM VirtualBox

Depending on what kind of application this exe is for, you may even be able to use Wine or Winebottler to run it on Mac.

Run Windows-based Programs on a Mac

http://winebottler.kronenberg.org/

If it requires more complex access to windows runtime files and other windows environment things, then you will need to install Windows through Bootcamp or Virtualize it as mentioned above,

You cannot run an.exe file in Mac OS. It is a Windows file.