A .exe is an executable file... are you certain that it's audio? If it is, it's likely bundled with its own player (which is why it's an .exe), in which case you're probably not going to be able to extract and convert the audio. I suggest you ask whoever you received it from to send you the audio file (and not bundle it with the player), you have a better chance of converting this audio file.
If it must be bundled as an exe, and you're able to 'play' this file, you can use SoundTap to capture the audio and save/convert this easily.