The video is in exe format I need to change the format to avi

.exe is not a video format, it's an executable file. What program made the video?

Unless you created the "video" yourself, I would not run the file. It's likely to be a virus if it's an .exe and labeled as a "video".

Always check the file formats before downloading a file. If you're trying to download a video and it ends in .zip, exe. . rar, or any other program extension, don't do it. Same for music. You should only see those extensions if you're downloading a program.