Question What to do if you download main.exe on Android device??

EXE files are not executable on Android, so at least on that side you shouldn't be worried. As to not being able to delete it, it depends on where/how it was downloaded, but you may need to use the stock File Manager (and make sure it has the right permissions enabled to access Storage) to modify/delete the file. Just to make sure no other app is 'using' the file, reboot your phone or boot up into Safe Mode to delete the file.
 
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Welcome to Android Central! How did you download this file? Did you tap on some spammy browser popup? Where do you see this file?