There may be different symptoms, either an error message may appear, or there may be no effect at all when double-clicking an. If you have just migrated from Windows and are doing your baby steps with Ubuntu, you may be indeed surprised that.
Linux uses different standards, different concepts, and therefore Ubuntu applications need to be adapted to them to work correctly. No other system is capable of running them, because their contents are designed to work on a Microsoft's system. exe files is that they are specific to Windows.
Not only it looks differently, but it also uses different mechanisms for its core functions. Ubuntu is a completely different system than MS Windows. There are, however, compatibility layers for Linux, such as Wine, that are capable of running.
exe files are not binary-compatible with Ubuntu.