Let's keep this simple, and reuse existing Ubuntu elements.
There are two issues here:
1. Archive Manager can't unpack exe files by default, but tries and doesn't offer a solution. This is solved by fixing bug# 148084 (https://bugs.edge.launchpad.net/ubuntu/+source/file-roller/+bug/148084)
"totem-like/firefox-like plugin installer for file-roller"
2. Users from Windows expect to run an exe file. The best reaction to Ubuntu doing something unexpected, and the reaction we want to encourage, is for the user to look in the documentation. There needs to be a useful result when searching for "exe" in Yelp which explains why an exe doesn't run in Ubuntu and what users can do about that. (The System Documentation is the right place for Solution #3 to be implemented)