You can link to an an .exe (or any other executable), but the visitor will
_always_ be asked what they want to do with the file. This is a security
feature and is by design.
The same behavior will happen regardless of what application you use to
build your website (FP, Dreamweaver, Notepad, etc.) or what browser you use
to view it (IE, Netscape, Mozilla, Safari, etc.). It is not a limitation of
using FrontPage.