Example for the simple .exe extension:
If you want to disable .exe downloads:
Add your browser's temporary directory to My Blocked Files
and write a \*.exe after the directory name, e.g.: C:\Documents and Settings\USERNAMEHERE\Local Settings\Temporary Internet Files\*.exe
1. open My Blocked Files
2. click Add...
3. click Browse...
4. type in the temporary directory's path and the extension;
5. click on the [ + ] sign, then click Apply
6. click Apply
: this will NOT let you download ANY EXEcutables with the browser.
Sooner or later you can figure out that you can even prevent document (.DOC, .PDF, etc.), image (.BMP, .JPG, etc.) and even flash (.SWF, .FLA, etc.) downloads and so on. Powerful enough?