Saturn help

All the Saturn games are in .exe Umm why? Can these be burned to a cd to be played on a saturn?

They're self-extracting archives, we used a program called UHARC to compress them, it's basically a very high compression program, sadly the program is not very much in use so we made it self-extracting. Bad decision in retrospect because of the file extension but we're not going to change it now.