The story usually begins with the protagonist receiving a blank CD-ROM or a sketchy download link from a friend who has suddenly gone missing.

Because the query strongly implies a fictional internet horror story (an ".exe" creepypasta), here is a look at what this concept likely refers to, structured around the common tropes of digital horror: 💻 The Anatomy of an ".EXE" Creepypasta

The file is typically a modified, "cursed" version of a beloved childhood video game or operating system.

If you'd like to proceed with exploring this topic, let me know:

Is something you saw in a horror story or on a fan-fiction forum ? Did you encounter it as an error message on your computer?

If you encountered this name in a real-world scenario, it is highly probable that it was a misspelling or a misreading of a legitimate file:

A tool from Microsoft's Sysinternals suite used to execute processes on remote systems, which can sometimes trigger antivirus warnings.