Most anti-viruses will "detect" if a file is a virus or not based on the file end of it. In this case the file is an ".exe" file. Most malicious files out there do end in .exe. Although, not to worry, .exe just means its executable. That means it can run and do "things" (Based on what it is) within the the desktop.
You can't assume every .exe file is safe. Do your research on the program first and never install something that hasn't been verified by other people as safe.