I recently had an .Exe video file that wouldn't capture using any/all available PC tools. I tried Omnivore, FIVE, and a few others. Nothing. Thank God for my trusty old MacBook Pro.
Here's an old video tutorial that's still relevant. It demonstrates using Wine / WineBottler to re-bundle the file into something that the Mac will recognize.
Wine / WineBottler worked like a charm on my video. Then, I used iShowU to do the screen capture.
Sometimes folks can't/won't mess with executable files and require the files to be "converted." Not all of them play nice with our state of the art systems. It's nice to see that the old tricks still work.