EXE files are typically just program executables and not actually videos, so in most cases exe to mp4 conversion does not work. Flash videos are occasionally compiled as .exe files and this might be actually the only type that could be converted to MP4 format. Such .exe files are created using the Flash Projector for example, but it is likely that other Flash tools offer this function as well.
Unfortunately, we do not know about any utility that could directly convert exe to mp4, but you can certainly recover Flash videos to SWF format with most of the SWF tools. Once you have the .swf file, it is very easy to convert swf to mp4 with almost every available multimedia converter.
Just be careful when dealing with .exe files, especially unknown .exe files from unknown sources, as these might contain viruses or some malware that can infect your system.Open EXE file Open MP4 file