exe and bin files are completely different and can not be converted. how big is the exe file? maybe someone just renamed the extension. can you execute the exe file? if not...and if the exe is like over 500mb, im guessing someone just renamed it. try renameing it back to .bin.
Binary file. Execute the EXE, it may be zipped. If it does nothing, like someone said, rename it to bin and then try to burn it. It should work. I had a copy off of Kazaa that did the same thing.