I don't have a ton of experience exporting as .exe from Flash, but when I send a "package" of files for preview purposes, I use an HTML file. I set up a Folder where there are two items:
DOUBLE_CLICK_THIS_FILE_TO_BEGIN.html (or something, ya know)
& the other item is a Folder (likely with subfolders) with all of the external assets. (using FlashVars to make this optional & dynamic is good, too)

Not sure if this - or something like it - will work for .exe files...?