Most .exe files are not actually videos, but program executables so this conversion is not possible in vast majority of cases. However, sometimes an .exe file may indeed contain video, typically Flash.
Typically, exe to mkv conversion (or any other similar exe to video conversion) is mainly sought by users that try to convert back exported self-playing Flash videos (for example ones created using Flash Projector) back to the original source video, in this case .exe to .mkv conversion.
The process usually follows the pattern of recovering SWF video (.swf) from the executable (.exe) via one of the many available SWF tools (check out exe to swf conversion entry) and conversion of the said .swf file to any of the desired video formats, in this particular case using swf to mkv converters.
Last option would be to use some screen recording tool (like Camtasia), open and play the .exe file (with the video) and capture it again to actual video file. Not perfect, but at least doable. The resulting quality may not be the same as the original though.
You should always be ware when working with unknown .exe files, you may infest your computer with a Trojan or some other malicious code so always check suspicious .exe file with your anti-virus software.Open EXE file Open MKV file