Honestly, I don't know why that would happen - can you not change the name to .exe AFTER it's saved through Windows?
That said...and I hate to answer a question with "use this nistead" but it really applies here...go to
www.mozilla.org and get that. You'll be MUCH happier I think. It's basically Netscape (coded by some of the same people but also open source so it has lots of little addons at
www.mozdev.org as well) but it DOESN'T have all those ads and stuff. And most of the time it gets features before Netscape does.