Hello,
The only problem with .exe is that you effectively remove a portion of your audience (those folks who are on Mac the Mac platform). I had several folk comment on that when considering buying my products.
I've always found that writing in Word and then pdfing it makes for a product that can be read across all platforms. There are lots of free pdf'ers available like
http://www.cutepdf.com/
http://www.primopdf.com/
http://www.pdf995.com/
but I myself chose to go with Adobe Distiller - back when I tested out the different programs, I found the output was much smaller with Adobe.
Your mileage may vary,
Barbara