The .exe in this case is used as a "wrapper" for the .pdf file. You do this because a lot of people don't realize that in order to save a .pdf file you need to right0click it and "save target as". The exe makes it simpler to download.
The winzip exe will also let you specify a directory to open it to, and to start the ebook. I don't know about Power Archiver...
Neil
http://www.ebookgraphics.com/design/index.html