Windows 8 setup.exe is an online downloader to create the setup media. Follow the below steps to create a bootable USB flash drive with it.
1 ) Run the setup from a PC which have active internet connection. If it prompts you for a license, enter the key you received .
2 ) Once you've gotten past the licensing screen, it'll ask you how you want to install Windows 8. Choose "Install by Creating Media."
3 ) It'll now give you a choice between a flash drive or an ISO file. If you want to create a thumb drive, choose "USB Flash Drive". Wait until it finishes.