Play EXE Applications on a DVD player

I’ve come across several home videos that my friends have made that are for some odd reason in EXE format (Don’t ask me how they did it). I figure its kinda like Photo CDs you get at the stores. So my question, how can you play those on a regular DVD player?

Need to separate the audio and video files from the built-in application, somehow, and transfer it into MP1, MP4, or MP2 and then burn it to disc.

How they did it was probably on a PC, where they have saved their show like it was a data file instead of in MPEG format.

djm