Source : Free On-Line Dictionary of Computing

EXE
     
        /eks'ee/ or /eek'see/ or /E-X-E/ An executable binary file.
        Some operating systems (notably {MS-DOS}, VMS, and TWENEX) use
        the extension .EXE to mark such files.  This usage is also
        occasionally found among Unix programmers even though Unix
        executables don't have any required suffix.
     
        [{Jargon File}]