Hello and welcome to Tom's Hardware Forums.
I have to start by asking why, I'm afraid. If you want the programmes to run when the .exe is clicked, they would have to be installed in the computer that USB stick is plugged into otherwise the exe can not execute.
If you're downloading an exe file, when you're offered the option to Run or Save, select Save then point to the location you want to store it in - in your case it would be My Computer>???Drive.