Malicious EXE files can execute a variety of operations which can be harmful to a computer. The file might install a malware when its opened or direct the computer to perform an operation you do not want it to do (e.g. connect the computer to a malicious server). Because EXE files start automatically when they are opened, the computer user might not notice that the file does something harmful. Therefore, the user doesn’t necessarily have an opportunity to step in and stop the EXE file.

In order to avoid harmful files, you should only download and open them from reputable sources. For example, if someone wants a common Windows utility, they should go to the official Windows website to download it.

If you are concerned with a file on your computer, you can e.g. check it to see if it is safe. All modern Windows versions come with Windows Defender. It is a built-in easy way to scan specific files. If the file is on your desktop, then you only need to right click the file and choose “Scan with Microsoft Defender”. When the scan is complete, you'll see the Scan options page letting you know the results of the scan.

Link: Be careful with unknown executable files