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When you run an EXE file, it uses Windows OS support. Similarly, when you run JAVA or JAR files, you need the help of Java Framework to open them.
How to Execute a File in a MacBook Terminal. The operating system your MacBook runs, OS X, is built on top of UNIX, and Terminal provides you with access to the underlying UNIX system commands.
If you cannot open exe or lnk files, learn how to reset, repair, restore broken EXE or LNK file association in Windows. Use FixExec or apply this fix.