Converting ".exe" video into another format

I have several movies on my computer that were given to me in ".exe" format that I need to convert (using the suggested cloudconvert.com software) into ".mp4" files for use with Brickscreen but cloudconvert does not support video in ".exe" format to do the conversion. Other than trying to rebuild these videos from the original mp3 clips, can you recommend (hopefully freeware/shareware) a program or technique that is available to change/convert the file extension from ".exe" to "mp3, .mov, quicktime or other"? (running Windows 10/64). Thanks.

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