"exe" is among the file extensions that is blocked in WireUpload.php
/**
* Disallowed extensions for uploaded filenames
*
* @var array
*
*/
protected $badExtensions = array('php', 'php3', 'phtml', 'exe', 'cfm', 'shtml', 'asp', 'pl', 'cgi', 'sh');
But it turns out you can override this by setting your own custom array of blocked extensions in your /site/config.php
// Remove "exe" from array of file extensions blocked by WireUpload
$config->uploadBadExtensions = array('php', 'php3', 'phtml', 'cfm', 'shtml', 'asp', 'pl', 'cgi', 'sh');
Of course exe is probably blocked by default for a reason so you would want to do your own research about possible risks involved in allowing such files on your server.