Linux doesn’t use *.exe files

As we notice about Linux, it doesn’t uses *.exe files unlike the others. If I’m going to click on a specific file, it inquire first of what I want to unclosed them. I don’t know what to select then. I want to ask, what are the file types Linux commonly has? What are the Linux’ Windows complementary parts? What RPM packages are and how to use them? Please help me answer these questions. I’ll greatly appreciate any help coming from you.
