Whenever I try to select to download a .exe file, it will not download, any ideas?

LW normally only alerts you that these files have a high probability of containing viruses. I doesn't block the dld (I think).
Anyway, you should just take LW's advice and not dld .exe files.

__________________
iMac G4 OSX 10.3.9
RAM 256MB
LW 4.10.5 Basic
ADSL anything from 3 to 8Mbps/around 1024kbps

"Raise your can of Beer on high
And seal your fate forever
Our best years have passed us by
The Golden Age Of Leather"
-Blue Öyster Cult-

I had the same problem as you except i couldn't download the .avi ones maybe u can help me out witht that?

Huh? You mean a message poped up telling you an .avi file might contain a virus? I've never heard of LW doing that. It might tell you that it has detected a corruption, but that is not a virus warning.
Anyway, you both can dld all the files you want, if you so wish. All you have to do is to click 'Yes' when the box pops up, but I suggest that you don't dld .exe files. If you insist, then at least (for your PC's sake) don't tick the "use this answer all the time" box when the pop up window comes up.

__________________
iMac G4 OSX 10.3.9
RAM 256MB
LW 4.10.5 Basic
ADSL anything from 3 to 8Mbps/around 1024kbps

"Raise your can of Beer on high
And seal your fate forever
Our best years have passed us by
The Golden Age Of Leather"
-Blue Öyster Cult-