Can we run .exe file in Linux?

The exe file will either execute under Linux or Windows, but not both. If the file is a windows file, it will not run under Linux on it’s own. So if that’s the case, you could try running it under a Windows compatibility layer (Wine). If it’s not compatible with wine, then you won’t be able to execute it under Linux.

How do I run an executable file?

When you type the name of the EXE file you want to open, Windows displays a list of the files it finds. Double-click on the EXE filename to open it. The program starts and displays its own window. Alternatively, right-click the EXE file name and select “Open” from the pop-up menu to start the program.