A ".exe" is an executable file used by Windows operating systems. I dont think that Aeria games supports Mac OSX but I think there is a Wine derivative for Mac OSX you can use. I have only used Crossover myself, http://www.codeweavers.com/,
but there also various free versions to try: http://www.playonmac.com/en/
I havent tried the second two and only found them while searching just now.
Though it should be noted that Aeria games dont support WINE so if you have issues then they cant help you.