'.EXE' you see is the "full name" field of an email address, typically what the sender has in their address book. On a protocol level, this is the content of the
The sender has set the
To: field to multiple email addresses. The first one is your email, which is shown as "Me" in the screenshot. The second address is the @yahoo.com account with a name of " '.EXE' " (inner quotes included). You can tell because there are two stars in the screenshot, one after each recipient. This account is likely controlled by the spammer for the purposes of capturing any reply you happen to send.
In short: The spammer is being tricky with the "name" field in the email. If there's an attachment, don't open it - the trickiness with the name is probably intended to confuse you and get you to do just that.