It does not delete all .exe files, but it deleted this one. It isn't a cheap anti-virus program, but it really helps. Every time something is downloaded it says if it is safe or not. Usually it will just say it isn't safe, not delete it completely. It either is a virus and they are saying it isn't, or they didn't put too much work into the game. If it was in a .zip file it probably would still delete it. This game most likely has a virus in it.