By default, Crossover will open up .exe files in cxinstaller (i.e. the Install Software menu) when those files are double-clicked. To change this behavior, modify the defaults.list file in /usr/local/share/applications/(.deb or .rpm installation) or ~/.local/share/applications (.bin installation).
In the defaults.list file, locate the application/x-ms-dos-executable= entry and update it from cxassoc-cxoffice-0:application_x-crossover-exe::install.desktop to cxassoc-cxoffice-0:application_x-crossover-exe::run.desktop.
Now, when you double-click .exe files they will open in cxrun.
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