What features do they have?
Different operating systems have differences in executable files, except for the header, they must contain instructions of the computer's CPU on which it will be loaded, you may still need rights (and / or attributes) to start;
How is created in the system?
Usually, programs in high-level languages are translated into “object” files containing parts of a future executable file that are collected by a special utility, the linker;
Only with compilers?
No, viruses can still, or are added to an existing executable image / sector, there are compression utilities for executable images, installers and other utilities working with images, but yes you need a piece of code that could be inserted, and it is obtained by compiling, very rarely can write the program directly in the codes;
Say, for example, can an .exe file force you to work on the web server side?
On the web server side, your image is already running, but it can be executed in a different operating environment, and even on an incompatible processor, just copying the .exe file in most cases is pointless;