If you're looking to run a .exe file, there are a couple of hypervisors in the market (sometimes found on the high seas). I've tried these on a couple of obscure .exe files:

- Parallels

- VMWare fusion

- Apple's gamekit

Parallels has had the highest coverage, but they've locked down Parallels pretty well, and there is no way to outright own a copy of Parallels (monthly subscription). I think the gamekit project is the most exciting one of these three though!