The safest thing is to check with the person who sent it. (Friends' computers can be taken over by email viruses, and the friend may not be aware of what is being sent out.) Possibly save the file without opening it, and then scan it with your antivirus software. Do not open it if there is any doubt. 5 minutes of pleasure vs. 5 days of restoring your computer?
Some security software warns of all .exe files. Mine will not allow me to attach .exe files at all.
Right now some people send animated Christmas cards, which may be in .exe format if they are old. Most new ones are in Adobe Flash format. But I would not take a chance on it if your friend cannot identify it.