A file ending in .exe that Windows runs directly when you open it; most Windows programs and their installers arrive in this form.
EXE is short for executable. When you double-click a file ending in .exe, Windows starts running the instructions inside it. The file may be the program itself, or an installer that copies the program onto the computer. A file of this kind can do anything on the PC, so it matters where it came from.
When people ask how to make an .exe, what they really want is a program that runs on Windows and can be sent to someone and installed. The traditional route is writing code and compiling it with developer tools. In Fanann you describe the program in plain words and download a ready EXE for Windows 10 and 11, 64-bit only. Practical tip: never run an .exe from a source you do not know, and when you send your own program to someone, tell them where you downloaded it and which Windows version it needs.