There are two main reasons why your ebook should be a PDF rather than an .exe file.

• The first reason is that many .exe files have malicious viruses and other programs within them. I know you would not allow that to happen inside your ebook but others do. So people are afraid of downloading and running an .exe. That does not apply to a .pdf file.
• Second is that about 15% of the people out there use a mac. Although the newer mac's can run an .exe most mac's cannot. So you are losing part of the potential market for your ebook.

In conclusion I would always recommend the universal .pdf format for your ebook. It is easy to create and can be read both on pc's and mac's