This conversion (or any other similar exe to video conversion) is mainly sought by users that try to convert back exported self-playing Flash videos (for example ones created using Flash Projector) back to the original source video, in this case. exe file may indeed contain video, typically Flash.
exe files are not actually videos, but program executables so this conversion is not possible in vast majority of cases. Software that can be used for conversion of exe file type to mov format.
