To open the .exe file, the program needs to be compiled. Click on "Compile" in your compiler system. It should give you back a list of errors, if any. If there are no errors, you should be able to click "Run" on your compiler system to open the .exe file. On mine, there is a "Compile & Run" button, for those who are sure that there are no errors. If there are any errors, the system should give you back the reasons for the errors. These errors are, usually, quite easy to follow. Try that.
I guess I didn't explain well. I meant how to open a file other than the actual program you made. For example, I made a C++ program that compiled and everytime i run it, it would open Internet explorer (which is .exe file)