On Mac OS X, and other *NIX (Unix-like) systems, an executable file can have any file name, '.exe' or not.
The function of a file is defined by its content, not name.
If you change file name ('.exe' is nothing but a file name), the Window shell wont recognize it, but you still can start the application programmatically. It used to be a notion of obsolete Microsoft systems, but now this is mostly just a convention. Essentially, there is no such thing as 'extension'. The paragraph below (indented) was initially written in response to first version of the question, which was later fixed by the inquirer:
