If you want to open .exe files on a mac, there are ways to do it. Try darwine http://darwine.sourceforge.net/download.php
or a PC emulator, there not perfect, unless your willing to pay a bit of money, but they do work for just running setups. Although if you are just trying to install msn, i'd just go to the website, and download the mac version, cause I know they do make one. But if you evr have an .exe program that doesn't have a mac version to go with it, try some of the sites I mentioned above.