Unless your browser has specific Plugins (like the Quicktime Plugin for FireFox, which allows you to run .mov files in the browser), then you can't. You cannot run exe files in a browser but you will be able to download them to your computer and then run them.
exe files you won't be able to run. You can find code somewhere which will allow you to embed some video formats and audio formats, but these will rely on the visitor having the required programs installed on their computer. (Windows Media Player is a common one)
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