EXE is a family of executable file formats. It includes the original MS-DOS EXE format, and a number of newer formats built on top of that format. Most of them use the same .exe file extension.
Although all members of the EXE family have a file signature of "MZ", it seems that the term "MZ format" is generally used to mean only MS-DOS EXE (i.e. files designed for MS-DOS).
EXE files designed for operating systems other than MS-DOS usually contain a short program (called a DOS stub) which, when executed by DOS, prints a message like "This program cannot be run in DOS mode" or "This program requires Microsoft Windows", and immediately exits. Some programs contain a more functional DOS stub, e.g. the Windows 9x registry editor.
This is an incomplete outline of the EXE family of formats.
- Ralf Brown's Interrupt List, INT 21h, Function 4Bh, describes lots of the "older" style EXE formats
- EXE Explorer utility
See also the articles for the specific EXE formats.