Don't know if you were being ironic, but anyways... that's a very common way (at least amongst programmers) to refer to an executable file, which usually has a .exe extension. The first thing people should always do when they install Windows is to configure it to show the extensions of all files (under folder options).
I don't know if I'd call it ironic, but now you're just begging them to say "What is 'Windows'?"
ETA: Only Windows (and DOS if you count it) use primarily the .exe extension for a specific type of executable (as opposed to a .com, .bat, etc). In other operating systems like *nix, an executable file may or may not have any extension.
