The MEG's scans the contents of compress files automatically, to block emails with .exe you would want to sent up a file filtering rule under compliance.
-Find File Filtering under compliance
-Click add rule, Create name
-Check Enable File Category Filtering
-Under Category Filtering choose Windows Executable and make sure Other Specific Windows Executables is checked.
-Under If Trigger pick your action
That's a pretty basic way of blocking or quarantining .exe
The one catch to this answer is that if you have a rule which explicitly allows ZIPs through, you need to check the box for that rule which tells the MEG to continue scanning. If you do not, the MEG will encounter the zip, decide that it's allowed, and then not scan any further to see if there's anything that's not allowed.