Hi
As mentioned in the documentation, exe is not the supported format.
But it does not mean that it would not work in AEM, it means it can behave any ways but Adobe do not recommend to use it.
Documentation link:- https://docs.adobe.com/docs/en/aem/6-2/administer/content/assets/assets-formats.html
As, it is not the supported format, so there is no best practice to use it.
But you can try adding it directly to the DAM or zipping it and then adding it to DAM.
If you are facing any problem, please check the error.log
~kautuk Sahni