Please could someone help.

I've noticed how some pages link to an exe file on the server such as
http://www.host.com/file.exe?variable=value
like that. Is that possible on free webspace? What does that do? Can the EXEs be written with VB? What benifits does it give me? What can be returned to the browser after running these. I need to know ANYTHING about ANYTHING!!!

Thanks a lot everyone.