Just the exe should be fine. However, you'll need to run it on your computer, as it's a type of compressed file, and running the program will uncompress it. After it's done running, you can transfer the uncompressed files to your Android device.
Unfortunately, it wouldn't work, as running the .exe file is the only way to extract the file. I've tried myself, because the file is an .exe and not a .zip or .7z, Zarchiver won't recognize it as a compressed file. You can still get Zarchiver on Android for other files you want to extract though.
