It's not just a matter of viruses. With an EXE file, a malicious programmer could do just about anything with your system. They could set up a spy program that records your passwords, they can wipe your system, or they can even take over your system and use it in an attack on other systems. Anti virus programs won't help in these cases. That's why executables can be so dangerous. You may never even know your computer has been compromised.