You need to configure the server to recognise .exe files as cgi, then you just point your browser to the URL as normal..
Here's the answer for Apache, the most popular server on the internet.
Edit the file [srm.conf] to contain, either:
AddHandler cgi-script .exe
ScriptAlias /cgi-bin/ /some/real/path/to/your/cgi_s/
In both cases, you also need to check the [access.conf] file, to make sure that CGI's are "allowed" in those directories. eg...
<Directory /some/real/path/to/your/cgi_s> AllowOverride None Options ExecCGI </Directory>
The scriptalias is the prefered and safest way to do this, as it is easier to manage the access rights on the cgi-bin. That way only trusted users can publish executables, while still allowing the static content of the site to be updated by mortals that are prone to accidents.