Those exe files are EITHER self-extracting zips, or malware.
TBH - I'd assume they were the latter, because only naive people would run an exe they downloaded from a file sharing site, so no one who really wants to give you a movie would give you an exe file.
However, for completeness, lets assume we are confident the exe file is safe, here is how I would attack it:
1) try right-click it and open with The Unarchiver
2) try install wine and run the exe. I have successfully run self-extracting ZIP files through wine on OS X - it's been a while, so I'm not sure it was Lion or Snow Leopard, but either way, wine should work. Bear in mind, this is a really nerdy solution - you'll need MacPorts or Fink or something like that to get wine on your machine, then, you'll need to use the terminal to invoke wine!
3) install a Windows VM on your Mac using either a commercial virtualisation app like VMWare Fusion or Parallels Desktop, or with the free VirtualBox from Oracle.
Honestly though, I'd move it to the trash and move on, for my own safety!
B.