Windows phone owners- how to download unsupported files?

I tried Nokia lumia first time yesterday. I tried to download an exe from Internet but it failed and said that file cannot be downloaded as this type of file is not supported by windows phone. I like to many downloads on my phone rather than computer( just lazy to go to my notebook for it, I can do it in my android while I am in bed or on couch in front of tv and later transfer to my notebook for testing). It,s so easy with android. It is not trouble free with iPhone but still there is some way to download these files and keep them on iPhone and then transfer to laptop via some apps( infact this I'd one reason I almost hate iPhone, too restricted applications sandboxing). Now I do like windows phone user interface but it seems it has gone on step ahead of iPhone in sandboxing and restrictions. You can,t download a lot of unsupported file types. I wonder if there is any work around? Thanks