There is no .exe type. The .exe is likely one of 2 things:

1. A stand-alone version of the effect - this is pretty common
2. An installer that will put a .dll somewhere, but you have to know where it puts the .dll

Most of the guitar amp simulation plugins include both 1 & 2, like Amplitube. You can run it as a standalone device on your laptop OR you can use it as a plugin in your DAW through the .dll

So, pay attention when you run the .exe as to whether it's a standalone version (the plugin will usually tell you this) or where it wants to stuff the .dll on your computer. You'll have to let PTPA know where the .dll is and make sure that PTPA registers that location.

-Scott