: A polished, paid version of Wine that offers better support and compatibility for many popular Windows applications and games on both Intel and Apple Silicon Macs. 2. Virtual Machines (Emulation)
This is likely what you are actually looking for. Tools like Wineskin or Crossover act as a translator. They don't change the EXE into a DMG; they create a DMG "environment" that allows the EXE to run inside it. exe to dmg converter for mac online install