The idea is sweet and innocent but is much more complex...
The "exe" files are binaries. The .exe extension is something windows has as a standard for postfix, and is not necessary for running binaries (linux does not use any postfix and therefor also Android).
So what is a binary?
It's a list of machine instructions which the intended cpu understands. Every cpu has it's own instruction set ( a language). You need to make sure that the list of instructions you are running can be understood by the cpu. Inside this list you will find special instructions which is called "system calls". They are not intended for the cpu but for the operation system which you are running on.
So to sum up;
1) to run windows binaries on Android you need to change to instruction set of the binary because the cpu you have is not the same as those running on the Android device. E.g. x86 cpu on computer vs. ARM cpu on mobile devices vs. PIC micro-controllers. So the binary does not speak the same language as the cpu.
2) You need to change the system calls because Windows and Android does not have the same system calls.
So as a final sum up, it's not easy to make those binaries to run on Android, specially those which has a instructions list bigger than 20-30 instructions... They are just to complex and sometimes not even possible!
The WINE project is shot of doing the exact problem. It will run the binaries and translate them on the fly for the operating system. It succeed most times and fail others. But it's a HUGE project and need a normal computer power for it to run. The devices we have right now, does not have the horse power to run such projects.
I hope the info shades some lights on the problem :0)
NB: i know some of the info is not 100% but it's REALLY simplified to give the general idea and complexity of the problem :0)