Seems that you may have associated all EXE's to be run with Adobe Reader. That may be the reason behind you facing such an issue.
Can you try the instructions at the below page and see if it works:
I have heard of this problem in the past; it only seems to happen on Vista and Windows 7.
One resolution I have read some time ago was to recreate the user profile. Sorry, I cannot give you detailed instructions; it's just what I remember.