Most likely the alias or virtual directory has not been granted execute rights.

If the problem only appears at some browsers the problem is most likely caused by a download manager, the work around is to add a ? (questionmark) at the end of the URL in the document templates. Please note that this is not supported by all browsers. Some download managers also supports the option to add the site to a list which the download manager will not be monitoring.

Some Webservers also support creation of aliases pointing directly to the exe file, however this is not supported on IIS.