You can use regular expression (if you want to) in order to reach your objective. Steps below might help you:
1. Login into the EWS 5.5;
2. Go to Web - Scanning Policies - URL Filtering: Primary URL filtering
3. Click on the tab named "Denied URLs (Regex)"
4. Add a URL with the following string: /*.exe
5. Apply your configuration.
6. Try to download any .exe file from the internet and check the results.
Note: I'd suggest you to test this rule before implementing it in production, since sometimes regular expressions might cause some false positives. Attached there is a screenshot with an example.