Just rename the file extension to '.zip' (and confirm the dialog), and open it with Stuffit Expander.
exe file! For instance, a PDF manual from Canon's site - they tell you to open it with Acrobat, but they made it an exe, saving just 0.2 MB. But you HAVE to have its contents, and you just can't open that. Sometimes you encounter a file on the Net which is compressed as a self-extracting zip-file for Windows only.