Do you surf with Internet Explorer ?
Then check this out:
* In the menu on the top of an internet windows, choose "Tools" > "Internet Options" > the "Security" tab
* click "Internet Zone" > Custom button
* Under "Downloads", is the download of files Enabled ? If not, enable it > clicj "OK" button, reboot and try if you can download .exe files now,
Also check out security program (anti-virus, ..) , one might be blocking the download of .exe files from the internet.