"EXE" is a 4-letter
word in Linux.
There are freely-available RHEL distros available. One is White Box Linux, though that one seems to have languished. Another is
CentOS, which has not only RHEL3, but also 4 and 4.1.
The distros are, as is typical, made available as CD image (ISO) files. If you need to burn discs under Windows, there's an ISO burner program available for free. In Linux, you just use the cdrecorder program.