Usually contains a .exe file intended for installation.
If you are looking for what might be inside or how to handle it:
These files are often password-protected to bypass antivirus scans. You can use tools like PeaZip or WinRAR to view the Table of Contents (TOC) before extracting, provided the file names aren't also encrypted. Safety Recommendations
If you were trying to create a similar archive, you can find guides on how to create RAR self-extracting archives or set up encrypted files with multiple passwords using standard archival software. Archive files with multiple encryption passwords - PeaZip