Can people use that on pc's that don't even allow you to open unknown exe files?
Not by itself. CGMiner isn't malware (though it's often mislabeled as such by AV programs). You'd need to figure out how to elevate the permission level of the CGMiner instance. Not my area, though. You'd probably get slapped with a felony charge if in the US since it's not a matter of if it's discovered, but when.