Unless you are using IIS (I think there's a policy setting with that), I
don't know of a way with IE alone to prevent .exe downloads. You could have
a look at this little app:
http://www.filedudes.com/Exe_Lockdown-download-34867.html
You could try this little registry trick - add this key:
HKEY_LOCAL_MACHINE\SOFTWARE\Microsoft\Internet
Explorer\Plugins\Extension\.exe
For the key, just keep the default name, and add any value - say.
notepad.exe
You can add just about any file extension there, not just .exe to the
\Extension\ tree
Then when a user tries to download an .exe file, they'll just get a
placeholder (that little white box with the red square, green circle & blue
triangle)