That really depends on what the .exe file is. If the exe
is an extractable installation package from some vendor,
they may have included a msi file in the package (e.g.
Adobe Acrobat 6.0). This is extracted when it is installed
& can be copied from the extraction directory on the local
hard drive.
If the exe is simply a program file, you need to create a
msi file using one of the proprietary tools available on
the market. Winstall LE is included for free with Windows
2000. It's a bit limited but can create simple msi files
by 'snapshotting' the difference before & after an
installation on a clean machine.
Hope this helps. Chris