If the file association for .exe has changed automatically, this behaviour is generally caused by viruses. One of which is Sircamm virus, which modifies the .exe file association in registry. Reset the .exe file assocation using any of these steps:
Solution 1:
Click [Start] [Run] [Command]
Type the following and then press Enter after typing each one:
cd\windows
copy regedit.exe regedit.com
start regedit.com
Navigate to and select the following key:
HKEY_CLASSES_ROOT\exefile\shell\open\command
Double-click the (Default) value in the right pane.
Delete the current value data, and then type: "%1" %*
(ie., type the following characters: quote-percent-one-quote-space-percent-asterisk.)
Exit the Registry Editor and restart Windows.
Solution 2:
Download .exe File association fix from here:
http://www.dougknox.com/xp/file_assoc.htm
NOTE: Most importantly, update the definition files for your A/V
software and scan the system for viruses.
Related MSKBs:
You Are Unable to Start a Program with an .exe File Extension:
http://support.microsoft.com/default.aspx?kbid=310585
You Cannot Start Programs (.exe Files) When Your Computer Is Infected with the SirCam Virus:
http://support.microsoft.com/default.aspx?kbid=311446