How do I resolve the problem/error: Couldn't display "/home/username/desktop/setupengpro.exe".

Before the launch of Ubuntu 8.04 LTS (currently having Ubuntu 6.06 installed), I downloaded the beta version of it (hoping that it will install automatically) but it did not install automatically, the software/file icon just sat on the desktop screen. Double clicking on it simply shows files in it but does not install even when I opened the executable file (setup.exe) it still does not install. This happened with yet another file that I downloaded. In each case I find the following error or stop message:

Could'nt display "/home/my username/desktop/setupengpro.exe".

I am stuck with these files on my desktop screen but not installed, I am still a novice on using Linux and do not know what commands to type for what I want to do. I want to learn how to use Linux - Ubuntu (since my company will be migrating to Open source from windows and ms office) in the next six months, so I am teaching myself as I go along on my PC at home. Please help me with how I can install these files or how to resolve problems of this nature in general.