how do i put a .exe video file onto my webpage (using html or any other way)?

Answer 1

You can't. You would need the video to be in an embeddable format, such as Windows Media or QuickTime. The easiest way to do this would be to use a video screen capture tool while the .exe video is playing. There are several available, not saying they are free or not.
http://www.download.com

Answer 2

Don't. Downloading any sort of program onto someone else's computer can be construed as a virus or malware.