Because of their usefulness and ubiquity, EXE files are commonly used as a method of delivery for virus / malware infection. Often, viruses will be disguised as a benign EXE file (such as cccccc.exe) and distributed through SPAM email or malicious websites, which can then infect your computer when executed (eg. when you double-click the EXE file).
In addition, viruses can infect, replace, or corrupt existing EXE files, which can then lead to error messages when Jamm (Java Mail Manager) or related programs are executed. Thus, any executable files that you download to your PC should be scanned for viruses before opening - even if you think it is from a reputable source.