Zordana

I've been sent a file that is .exe sound. It opens up on the computer straight away so i can play it there but i cannot convert it to something i can use on my CD player although the website it came from says i can. They say i can convert in Nero but that didn't work so i downloaded NCH, but i'm struggling with that too. I've got two of these files i'd like to burn to a CD, i've attached one if it helps. Can anyone assist me please...oops, dont think it worked. :*) Kind regards Zordana