…although, looking back many years ago to my rabid Mac gaming years (Quake I, Quake II, Quake III Arena, Unreal, Unreal Tournament, Unreal Tournament 2004, Myth I, Myth II), there were some add-on files written on a Windows-crippled PC as .EXE files, however, in reality they were .ZIP files with some sort of executable wrapper around them. Of course, one would drag-and-drop the .EXE files onto Stuffit Expander (I believe we’re talking OS 9.0.4 — 9.2.2 era versions), and generally they would expand, revealing a file/folder structure. Depending on the way that the “.EXE’d” .ZIP file was created, the directory structure was preserved such that the files could be dropped right into your gaming directory and they would work. I remember I had to do this in order to get Quake II Mission Packs I (Ground Zero) and II (The Reckoning), and another mission pack called Juggernaut working properly with the Mac OS version of Quake II. It worked.
–however—
Your mileage may vary, depending on the nature of the .EXE files you are interested in using on your Mac. If, by chance, they are for example some sort of add-on for Unreal Tournament 2004, then they can probably be extracted via Stuffit Expander (OSX version seems to be able to extract most .EXE files). From there one needs to manually put the directories within Unreal Tournament.2004 (Get Info -> Show Package Contents).
I hope this was helpful for you.
-he who stacks pork