If you have a Linux native binary (not a Windows .exe) and want to turn it into a .deb for easier distribution, you can use ELF2deb or FPM (Effing Package Management).
: Before trying to convert, search for your Windows app + “Linux alternative.” You might be surprised how often a better, free, open-source .deb already exists. how to convert exe to deb link
: A popular, free tool to run a complete Windows OS as a separate window on your Linux desktop. virt-manager If you have a Linux native binary (not a Windows
Directly converting an (Windows executable) file to a (Debian/Ubuntu package) file is not possible how to convert exe to deb link
sudo wine myprogram.exe
If you just want to an .exe on Debian: