What some tools (like exe2deb fake scripts) actually do is simply rename the file extension, which will never work.
Converting an .exe (Windows executable) file to a .deb (Debian/Ubuntu package) is technically impossible because they are fundamentally different types of files. An is a program built for the Windows kernel, while a .deb is a compressed archive containing software and instructions specifically for Linux systems.
sudo apt install wine wine myprogram.exe