How to virtualize Mac apps in Windows. Available exo to app converters.
You cannot just take a Windows executable (.exe program) and convert it to Mac OS X (.app) file. You will need to either find an macOS / OS X version provided by the developer of the software, or you have to use some virtualization software, like Parallels Desktop to run Windows programs on your Mac. Also worth mentioning is that some apps, such as WineBottler allows users to virtualize Windows apps on Mac.
A turn Windows-based programs into Mac apps