>>>so really youd never want to click on one from anywhere.
Unless it was a program that you were actively seeking to add to your computer AND you were 100% certain about the authenticity of the site from which you were downloading it. (e.g. it's perfectly safe to download new browsers, which will have 'exe' files to install them, as long as you're downloading Firefox from the Mozilla website, Chrome from the Google website and so on. Any other download websites should be treated with suspicion unless they're well-known and trusted by everyone, such as Cnet.com).