It depends on the program, some don't need extra files to work (like winrar, it has all the files it needs in the same folder) but some needs to install and uses system dlls and running services for licencing and other stuff, so these needs to be installed and that's the main problem.
But in general yes, it should open exe files.

What I use: winrar, utorrent, winamp (not so good), ultraiso, deep exploration (slow but usable)
What I want: 3ds max 2008, vray, solid edge