You don't. EXE files are a Windows/DOS exclusive. The rule around here is to NOT install from outside the official repository. Before doing anything else, you need to launch Synaptic (the PCLinuxOS package manager), click on Reload, then Mark All Updates, then Apply, then Apply in the dialog that opens. Once your system is fully up to date, then click on the Search button and enter 7zip. You will have some choices to make as to which program you want to install. Of course, every version of PCLinuxOS comes with an archive manager pre-installed to handle virtually all of your archive file management needs.
Hope this helps!