You do not want to run it, you want the content.
This is by design.
One possiblitiy is the use of Total Commander. You navigate to the self extracting exe file and press Ctrl-
About the Author
Wim Peeters is electronics engineer with an additional master in IT and over 30 years of experience, including time spent in support, development, consulting, training and database administration. Wim has worked with SQL Server since version 6.5. He has developed in C/C++, Java and C# on Windows and Linux. He writes knowledge base articles to solve IT problems and publishes them on the Lubby Knowledge Platform.