Yes, this area of CrossOver needs some usability improvement. Sorry for your frustration.
A bottle is a virtual Windows environment, with its own C: drive, registry, set of installed software, etc.
I don't know if the .exe file you have is an installer or not. I guess it probably is. I would recommend that you choose the Configure > Install Software menu item, select Other Application from the list of applications, select the .exe as the installer file, and let CrossOver create the bottle as it sees fit (although you may wish to give it a name that's meaningful to you, like "HTC sync" or whatever).
If the file is an installer, then hopefully it will just work. If it's a standalone program, then it will end up getting run, which is what you wanted. (Granted, CrossOver has run it on the theory that it is an installer, but running is running. 😊)
For the general case, if you have a .exe file that you just need to run, you do need a bottle. You can create one using the Manage Bottles window. Once you've created a bottle, you can use the Run Command item in the Programs menu to run the program.
(Edited to add: you should have received an email after you downloaded the trial explaining how to get help with the trial. That would have sent your request to our support staff, directly. These forums are not a "real" support channel. It was mostly happenstance that I saw your post to respond.)