What .exe? Did you download the iso from the link in my signature or not? The link I have goes to the UBCD5 Beta and there is only .iso as an option. You are supposed to download the .iso file and burn that as an image.

If you downloaded from the old UBCD page, there is a SELF EXTRACTING .EXE file. You would need to extract the .iso from the .exe and burn the iso as an image.